The art of fitting financial time series with Levy stable distributions

Enrico Scalas and Kyungsik Kim

Papers from arXiv.org

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.

Date: 2006-08
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Citations: View citations in EconPapers (6)

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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:arx:papers:physics/0608224

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