A Simple Power-Law Tail Estimation of Financial Stock Return

被引：0

作者：

Cheong, Chin Wen ^{[1
]}

Nor, Abu Hassan Shaari Mohd ^{[2
]}

Isa, Zaidi ^{[3
]}

机构：

[1] Multimedia Univ, Fac Informat Technol, Cyberjaya 63100, Selangor DE, Malaysia

[2] Univ Kebangsaan Malaysia, Fac Econ & Business, Ukm Bangi 43600, Selangor DE, Malaysia

[3] Univ Kebangsaan Malaysia, Fac Sci Technol, Ukm Bangi 43600, Selangor DE, Malaysia

来源：

SAINS MALAYSIANA | 2009年 / 38卷 / 05期

关键词：

Goodness-of-fit test; Hill estimator; power-law distribution; stock exchange;

D O I：

暂无

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill's estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation. The threshold extreme values can be selected bases on the desired level of p-value in the goodness-of-fit tests. Finally, these procedures are apply to three indices in the Malaysian stock exchange.

引用

页码：745 / 749

页数：5

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