Original scientific paper

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

Abstract

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.

Keywords

autoregressive process; Lévy stable distribution; risk measure

Hrčak ID:

240686

URI

https://hrcak.srce.hr/240686

Publication date:

7.7.2020.

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