Refined Bootstrap for Stable Paretian Distributions - with Applications to Financial Returns

von Cornea, Adriana
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Cornea, Adriana Refined Bootstrap for Stable Paretian Distributions - with Applications to Financial Returns
Cornea, Adriana - Refined Bootstrap for Stable Paretian Distributions - with Applications to Financial Returns

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Beschreibung

The supremacy of the stable Paretian distributions over the Gaussian distribution is by now a stylized fact in the financial theory and practice. It is well known that the asymptotic inference about the expected returns is not always reliable and that the nonparametric bootstrap can be used as an alternative. However, several studies have emphasized the fact that the nonparametric bootstrap is invalid for the stable Paretian distributions. The reason is that the expected returns are highly influenced by the risk of the investment opportunities, risk which is always greater in a stable Paretian financial market than in a Gaussian market. In this monograph a refined bootstrap method that overcomes the drawbacks of the nonparametric bootstrap is introduced.

Mitwirkende

Autor:
Cornea, Adriana

Weitere Informationen

Medientyp:
Taschenbuch
Verlag:
LAP Lambert Academic Publishing
Biografie:
is a Postdoctoral Fellow at Imperial College London, The Business School. Dr. Cornea is the holder of the British Academy Postdoctoral Fellowship award in 2009. She graduated with her PhD in Economics from GREQAM, University of Aix-Marseille in 2008.
Sprache:
Englisch
Seitenanzahl:
124

Stammdaten

Produkttyp:
Taschenbuch
Verpackungsabmessungen:
0.218 x 0.148 x 0.008 m; 0.18 kg
GTIN:
09783838326443
DUIN:
1CN3F63G8AA
€ 59,00
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