Abstract
This paper illustrates a procedure for fitting financial data with α-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate in order to quantitatively assess its quality. It turns out that, for one of the two investigated data sets (DJIA from 2000 to present), an α-stable fit of log-returns is reasonably good. However, for the other data set (MIB30 from 2000 to present), the fit is not as good as in the previous case. The issue of goodness-of-fit tests is critically discussed.
Lingua originale | Inglese |
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pagine (da-a) | 105-111 |
Numero di pagine | 7 |
Rivista | Journal of the Korean Physical Society |
Volume | 50 |
Numero di pubblicazione | 1 I |
Stato di pubblicazione | Pubblicato - gen 2007 |
Pubblicato esternamente | Sì |