Estimating the tail conditional expectation of Walmart stock data
Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy-tailed distributions can capture asymmetry and heavy tails observed in financial data. In this paper, we fit an AR(1) process with α - stable innovations to the logarithms of volumes of Walmart stock traded d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2020-01-01
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| Series: | Croatian Operational Research Review |
| Online Access: | https://hrcak.srce.hr/file/349417 |