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Scalas, Enrico and Kim, Kyungsik (2007) The art of fitting financial time series with Levy stable distributions. Journal of the Korean Physical Society, 50 (1). pp. 105-111. ISSN 0374-4884
Full text not available from this repository.Abstract
This paper illustrates a procedure for fitting financial data with α-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 α-stable fit of log-returns is reasonably good.
Item Type: | Article |
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Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Subjects: | Q Science > QA Mathematics > QA0276 Mathematical statistics |
Depositing User: | Enrico Scalas |
Date Deposited: | 29 Sep 2014 10:40 |
Last Modified: | 29 Sep 2014 10:40 |
URI: | http://sro.sussex.ac.uk/id/eprint/50266 |