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 University Library of Munich, Germany in its series MPRA Paper with number 336.
Date of creation: 23 Aug 2006
Date of revision:
finance; statistical methods; stable distributions;
Other versions of this item:
- Enrico Scalas & Kyungsik Kim, 2006. "The art of fitting financial time series with Levy stable distributions," Papers physics/0608224, arXiv.org.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-CFN-2006-10-21 (Corporate Finance)
- NEP-ECM-2006-10-21 (Econometrics)
- NEP-ETS-2006-10-21 (Econometric Time Series)
- NEP-RMG-2006-10-21 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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HSC Research Reports
HSC/01/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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- Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer, vol. 58(2), pages 147-163, June.
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