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

by 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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Description

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.

Contributors

Author:
Cornea, Adriana

Further information

Media Type:
Taschenbuch
Publisher:
LAP Lambert Academic Publishing
Biography Artist:
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.
Language:
Englisch
Number of Pages:
124

Master Data

Product Type:
Paperback book
Release date:
14 December 2009
Package Dimensions:
0.218 x 0.148 x 0.008 m; 0.18 kg
GTIN:
09783838326443
DUIN:
1CN3F63G8AA
£52.99
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