The art of fitting financial time series with Levy stable distributions
AbstractThis paper illustrates a procedure for fitting financial data with $\alpha$-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 $\alpha$-stable fit of log-returns is reasonably good.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number physics/0608224.
Date of creation: Aug 2006
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Web page: http://arxiv.org/
Other versions of this item:
- Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G00 - Financial Economics - - General - - - General
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HSC Research Reports
HSC/01/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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