Scalas, Enrico and Kim, Kyungsik (2006): The art of fitting financial time series with Levy stable distributions.
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This paper illustrates a procedure for fitting financial data with alpha-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate, in order to quantitatively assess its quality. It turns out that, for the two investigated data sets (MIB30 and DJIA from 2000 to present), an alpha-stable fit of log-returns is reasonably good.
|Item Type:||MPRA Paper|
|Original Title:||The art of fitting financial time series with Levy stable distributions|
|Keywords:||finance; statistical methods; stable distributions|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
?? C16 ??
G - Financial Economics > G0 - General > G00 - General
|Depositing User:||Enrico Scalas|
|Date Deposited:||09 Oct 2006|
|Last Modified:||04 Nov 2016 11:23|
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