Refined Bootstrap for Stable Paretian Distributions

Name: Refined Bootstrap for Stable Paretian Distributions
Brand: LAP Lambert Academic Publishing
SKU: 9783838326443
Price: 53.78 EUR
Availability: InStock

with Applications to Financial Returns

Автор: Adriana Cornea

Език:

Корици: С меки корици

Издател: LAP Lambert Academic Publishing

Наличност: Външен склад

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The supremacy of the stable Paretian distributions over the Gaussian distribution is by now a styliz...

Информация за книгата

Автор

Adriana Cornea

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

124

EAN

9783838326443

Enbook ID

06904417

Издател

LAP Lambert Academic Publishing

Теглоt

180

Размери

150 x 220 x 6

Пълно описание

The supremacy of the stable Paretian distributions over the Gaussian distribution is by now a stylized fact in the financial theory and practice. It is well known that the asymptotic inference about the expected returns is not always reliable and that the nonparametric bootstrap can be used as an alternative. However, several studies have emphasized the fact that the nonparametric bootstrap is invalid for the stable Paretian distributions. The reason is that the expected returns are highly influenced by the risk of the investment opportunities, risk which is always greater in a stable Paretian financial market than in a Gaussian market. In this monograph a refined bootstrap method that overcomes the drawbacks of the nonparametric bootstrap is introduced.

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Refined Bootstrap for Stable Paretian Distributions

with Applications to Financial Returns

Информация за книгата

Пълно описание

Може също да ви хареса

Клиенти, които купиха тази книга, купиха също