Tail Estimation and Conditional Modeling of Heteroscedastic Time-Series von Marc Paolella | ISBN 9783980599313

Tail Estimation and Conditional Modeling of Heteroscedastic Time-Series

von Marc Paolella
Buchcover Tail Estimation and Conditional Modeling of Heteroscedastic Time-Series | Marc Paolella | EAN 9783980599313 | ISBN 3-9805993-1-0 | ISBN 978-3-9805993-1-3

Tail Estimation and Conditional Modeling of Heteroscedastic Time-Series

von Marc Paolella
There is currently a surge of interests in the correct modeling of the returns on financial assets, techniques for generations good forecasts and reliable methods for assessing the probability of extrem events, most notably the determination of down-side risk. To this end, we develop tail index estimators specifically designed for data generated from a stable law an demonstrate the cosequences of their use - most notably the overturning of some common findings the literature on the tail-thickness of asset returns data.