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Modelling extremal stock returns in a stable Paretian environment
Autori
Viac o knihe
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.
Nákup knihy
Modelling extremal stock returns in a stable Paretian environment, Hendrik Kohleick
- Jazyk
- Rok vydania
- 2007
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2021 2022 2023
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- Titul
- Modelling extremal stock returns in a stable Paretian environment
- Jazyk
- anglicky
- Autori
- Hendrik Kohleick
- Vydavateľ
- GRIN Verlag
- Rok vydania
- 2007
- Väzba
- mäkká
- Počet strán
- 136
- ISBN13
- 9783638717540
- Kategórie
- Matematika
- Anotácia
- 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.