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Diploma Thesis from the year 2003 in the subject Mathematics - Statistics, grade: 1,0, University of Cologne (Seminar für 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.
Autorius: | Hendrik Kohleick |
Leidėjas: | GRIN Verlag |
Išleidimo metai: | 2007 |
Knygos puslapių skaičius: | 136 |
ISBN-10: | 3638717542 |
ISBN-13: | 9783638717540 |
Formatas: | 210 x 148 x 10 mm. Knyga minkštu viršeliu |
Kalba: | Anglų |
Parašykite atsiliepimą apie „Modelling extremal stock returns in a stable Paretian environment“