Modelling financial returns by discrete stable distributions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10128603" target="_blank" >RIV/00216208:11320/12:10128603 - isvavai.cz</a>
Result on the web
<a href="http://mme2012.opf.slu.cz/proceedings/pdf/138_Slamova.pdf" target="_blank" >http://mme2012.opf.slu.cz/proceedings/pdf/138_Slamova.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modelling financial returns by discrete stable distributions
Original language description
This paper develops a new approach to modeling financial returns by introducing discrete stable distributions. It is well known that the financial returns are not normally distributed, extremal events occur more often than the Gaussian distribution suggests. Already in the sixties Benoit Mandelbrot suggested a hypothesis that returns follow a stable Paretian law. Inspired by the discrete nature of prices appearing on the markets we model the financial returns by discrete analogues of absolutely continuous stable distributions. The known discrete stability of random variables on N is generalized to the case of random variables on Z. We give brief introduction to the theory of discrete stability on Z, show connection of discrete stable random variables to their absolutely continuous counterparts and focus mainly on methods of estimation of parameters of these distributions from the real data of financial returns.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
805-810
Publisher name
Silesian University in Opava, School of Business Administration
Place of publication
Karviná
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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