Modelling extremal stock returns in a stable Paretian environment

By Hendrik Kohleick

Diploma Thesis from the year 2003 in the subject Mathematics - Statistics, grade: 1,0, University of Cologne (Seminar f?r Wirtschafts- und Sozialstatistik), language: English, abstract: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. "Letting the tails speak for themselves" This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis.

• Format: Paperback
• Language: English
• ISBN: 3638717542
• ISBN13: 9783638717540
• Release Date: October 2007
• Publisher: Grin Verlag
• Length: 140 Pages
• Weight: 0.42 lbs.
• Dimensions: 0.3" x 5.8" x 8.3"