Izvorni znanstveni članak

https://doi.org/10.17535/crorr.2020.0008

Estimating the tail conditional expectation of Walmart stock data

Hakim Ouadjed orcid.org/0000-0001-5725-7884 ; Faculty of Economics, Business and Management Sciences, Mustapha Stambouli University of Mascara, Algeria
Tawfiq Fawzi Mami ; Science Institute, Belhadj Bouchaib University Center of Ain Temouchent, Algeria

Sažetak

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 daily on the New York Stock Exchange and estimate the TCE (Tail Conditional Expectation) risk measure.

Ključne riječi

autoregressive process; Lévy stable distribution; risk measure

Hrčak ID:

240686

URI

https://hrcak.srce.hr/240686

Datum izdavanja:

7.7.2020.

Posjeta: 990 *