Modelling extremal stock returns in a stable Paretian environment

Diploma Thesis aus dem Jahr 2003 im Fachbereich Statistik, Note: 1,0, Universität zu Köln (Seminar für Wirtschafts- und Sozialstatistik), 86 Eintragungen im Literaturverzeichnis, Sprache: Englisch, Anmerkungen: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. "Letting the tails speak for themselves" This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis. , Abstract: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. "Letting the tails speak for themselves" This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis.