Scalas, Enrico and Kim, Kyungsik (2006): The art of fitting financial time series with Levy stable distributions.

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Abstract
This paper illustrates a procedure for fitting financial data with alphastable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodnessoffit 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 alphastable fit of logreturns is reasonably good.
Item Type:  MPRA Paper 

Original Title:  The art of fitting financial time series with Levy stable distributions 
Language:  English 
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 
Item ID:  336 
Depositing User:  Enrico Scalas 
Date Deposited:  09. Oct 2006 
Last Modified:  12. Feb 2013 17:45 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/336 