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Modelling extremal stock returns in a stable Paretian environment
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This thesis explores the challenges finance experts and statisticians face in understanding extreme movements in stock prices. It evaluates two main approaches: one based on full parametric assumptions for tail inference and the other allowing the data to reveal insights about the tails. The stable Paretian distribution is utilized as a conceptual framework for this analysis, providing a structured method to investigate and interpret these extremal behaviors in financial data.
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Modelling extremal stock returns in a stable Paretian environment, Hendrik Kohleick
- Language
- Released
- 2007
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- Title
- Modelling extremal stock returns in a stable Paretian environment
- Language
- English
- Authors
- Hendrik Kohleick
- Publisher
- GRIN Verlag
- Released
- 2007
- Format
- Paperback
- Pages
- 136
- ISBN13
- 9783638717540
- Category
- Mathematics
- Description
- This thesis explores the challenges finance experts and statisticians face in understanding extreme movements in stock prices. It evaluates two main approaches: one based on full parametric assumptions for tail inference and the other allowing the data to reveal insights about the tails. The stable Paretian distribution is utilized as a conceptual framework for this analysis, providing a structured method to investigate and interpret these extremal behaviors in financial data.