stable distribution; regression model; extreme value
Abstract :
[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.
Disciplines :
Mathematics
Author, co-author :
Lambert, Philippe ; Université de Liège - ULiège > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales
Lindsey, James ; Université de Liège - ULiège > Institut des sciences humaines et sociales > Institut des sciences humaines et sociales
Language :
English
Title :
Analysing financial returns using regression models based on non-symmetric stable distributions
Publication date :
1999
Journal title :
Journal of the Royal Statistical Society. Series C, Applied Statistics
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