Reference : Analysing financial returns using regression models based on non-symmetric stable di...
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/2268/24520
Analysing financial returns using regression models based on non-symmetric stable distributions
English
Lambert, Philippe mailto [Université de Liège - ULg > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales >]
Lindsey, James mailto [Université de Liège - ULg > Institut des sciences humaines et sociales > Institut des sciences humaines et sociales >]
1999
Journal of the Royal Statistical Society : Series C (Applied Statistics)
Blackwell Publishing
48
409-424
Yes (verified by ORBi)
International
0035-9254
1467-9876
[en] stable distribution ; regression model ; extreme value
[en] The daily evolution of the price of Abbey National shares over a 10-week period is analysed by using regression models based on possibly non-symmetric stable distributions. These distributions, which are only known through their characteristic function, can be used in practice for interactive modelling of heavy-tailed processes. A regression model for the location parameter is proposed and shown to induce a similar model for the mode. Finally, regression models for the other three parameters of the stable distribution are introduced. The model found to fit best allows the skewness of the distribution, rather than the location or scale parameters, to vary over time. The most likely share return is thus changing over time although the region where most returns are observed is stationary.
http://hdl.handle.net/2268/24520
10.1111/1467-9876.00161
http://www3.interscience.wiley.com/journal/119067093/abstract

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