Arbeitspapier
On the modelling of speculative prices by stable Paretian distributions and regularly varying tails
Earlier studies which applied the family of stable Paretian distributions to financial data are inconclusive and contradictory. In this article I estimate the parameters of the model by the Feuerverger-McDunnough method which enables the application of maximum likelihood rhethods. Based on inferential statistics, stable Paretian distributions can be rejected with monthly data. In order to confirm this result, the model is extended to the family of distributions with regularly varying tails. The result that stable Paretian distributions are not applicable is indeed confirmed by estimating the coefficient of regular variation.
- Language
-
Englisch
- Bibliographic citation
-
Series: ZEW Discussion Papers ; No. 93-25
- Classification
-
Wirtschaft
- Subject
-
Wechselkurs
Spekulation
Schätztheorie
Wahrscheinlichkeitsrechnung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kaehler, Jürgen
- Event
-
Veröffentlichung
- (who)
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
ZBW – Leibniz Information Centre for Economics
- (where)
-
Mannheim
- (when)
-
1993
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kaehler, Jürgen
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
- ZBW – Leibniz Information Centre for Economics
Time of origin
- 1993
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