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The art of fitting financial time series with Levy stable distributions
journal contribution
posted on 2023-06-08, 18:25 authored by Enrico Scalas, Kyungsik KimThis paper illustrates a procedure for fitting financial data with a-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 a-stable fit of log-returns is reasonably good.
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Publication status
- Published
Journal
Journal of the Korean Physical SocietyISSN
0374-4884Publisher
Han'guk Mulli Hakhoe, Korean Physical SocietyIssue
1Volume
50Page range
105-111Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-29Usage metrics
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