Metody aproksymacji indeksu ogona rozkładów alfa-stabilnych na przykładzie GPW w Warszawie

• Authors: Dominik Krężołek

Title variants

EN

Tail Index Approximation Methods of Alpha-stable Distributions on the Warsaw Stock

• Languages of publication: PL

Abstracts

EN

The main purpose of this paper is to present some estimation methods of parameters of alpha-stable distributions. Two classes of methods are presented: the classical Maximum Likelihood Method and non-classical ones: Quantile Methods and Tail Exponent Estimation (based on Hill estimator). The results show significant difference in values of stability index depending on estimation method. The choice of method may significantly affect investment decisions.

Keywords

PL

Analiza empiryczna; Metody estymacji; Metody statystyczne; Papiery wartościowe; Prognozowanie notowań giełdowych

EN

Empirical analysis; Estimation methods; Securities; Statistical methods; Stock exchange prediction

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 162
• Pages: 21-30

Contributors

author

Dominik Krężołek

References

• Borak Sz., Härdle W., Weron R. (2005): Stable Distributions. Springer, Berlin.
• Fama E.F. (1965): The Behavior of Stock Market Prices. "Journal of Business", Vol. 38, No. 1.
• Hill M.B. (1975): A Simple General Approach to Inference about the Tail of a Distribution. "Annals of Statistics", Vol. 3, No. 5.
• Mandelbrot B. (1963): The Variation of Certain Speculative Prices. "Journal of Business", Vol. 36, No. 4.
• McCulloch J.H. (1986): Simple Consistent Estimators of Stable Distribution Parameters. "Communications in Statistics - Simulations", No 15 (4).
• Rachev S.T., Mittnik S. (2000): Stable Paretian Models in Finance. Series in Financial Economics and Quantitative Analysis. John Wiley & Sons, England.

Identifiers

ISSN

2083-8611