The art of fitting financial time series with Levy stable distributions

Enrico Scalas and Kyungsik Kim

MPRA Paper from University Library of Munich, Germany

Abstract: This paper illustrates a procedure for fitting financial data with alpha-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 the two investigated data sets (MIB30 and DJIA from 2000 to present), an alpha-stable fit of log-returns is reasonably good.

Keywords: finance; statistical methods; stable distributions (search for similar items in EconPapers)
JEL-codes: C14 C16 G00 (search for similar items in EconPapers)
Date: 2006-08-23
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Working Paper: The art of fitting financial time series with Levy stable distributions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:336

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