WHY HEAVY TAILS IN FINANCIAL SERIES? ESTIMATIONS AND TESTS

Monique Pontier
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Monique Pontier: U.M.R. CNRS C 5583 L.S.P., Université Paul Sabatier, 118 route de Narbonne, 31 062 TOULOUSE cedex 04, France

Chapter 4 in European Women in Mathematics, 2003, pp 53-70 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractStudents's works about modeling and fitting are exposed. A first try to fit the Black-Scholes model is done with estimations of trend and volatility, test of normality, estimations of Hölder exponent in case of a driving fractional Brownian motion. Otherwise, the stationnarity of the return logarithm is studied. Finally, in the Diffusion-Jumps mixed model, an algorithm is done to detect jumps in a financial series and tests are made for the mixing of two (or more) Gaussian laws hypothesis.Data are these of “Bourse de Paris” (Lyonnaise des eaux, AGF, Peugeot) of the year 1997 and French stocks index (1802-1993).

Keywords: Mathematical Finance; Geometry; Cohomology (search for similar items in EconPapers)
Date: 2003
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