Estimating the tail conditional expectation of Walmart stock data
Estimating the tail conditional expectation of Walmart stock data
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Zagreb: Croatian Operational Research Society (CRORS)
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Language
English
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Publisher
Zagreb: Croatian Operational Research Society (CRORS)
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Stable distribution, also known as Levy stable distribution, which is a rich class of heavytailed distributions can capture asymmetry and heavy tails observed in financial data. In this paper, we fit an AR(1) process with а-stable innovations to the logarithms of volumes of Walmart stock traded daily on the New York Stock Exchange and estimate the...
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Full title
Estimating the tail conditional expectation of Walmart stock data
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TN_cdi_doaj_primary_oai_doaj_org_article_c4f8e84e195d4c31a7f1203188f153af
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_c4f8e84e195d4c31a7f1203188f153af
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ISSN
1848-9931,1848-0225
E-ISSN
1848-9931
DOI
10.17535/crorr.2020.0008
