Estimating the tail conditional expectation of Walmart stock data

IF 0.5 Q4 ECONOMICS

Croatian Operational Research Review Pub Date : 2020-07-20 DOI:10.17535/crorr.2020.0008

H. Ouadjed, Tawfiq Fawzi Mami

引用次数: 1

Abstract

Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy– tailed distributions can capture asymmetry and heavy tails observed in financial data. In this paper, we fit an AR(1) process with α–stable innovations to the logarithms of volumes of Walmart stock traded daily on the New York Stock Exchange and estimate the TCE (Tail Conditional Expectation) risk measure.

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估计沃尔玛股票数据的尾部条件期望

稳定分布，也称为Lévy稳定分布，是一类丰富的重尾分布，可以捕捉金融数据中观察到的不对称性和重尾。在本文中，我们将具有α-稳定创新的AR（1）过程拟合到纽约证券交易所沃尔玛股票每日交易量的对数，并估计TCE（尾部条件期望）风险度量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Croatian Operational Research Review ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

22 weeks

期刊介绍： Croatian Operational Research Review (CRORR) is the journal which publishes original scientific papers from the area of operational research. The purpose is to publish papers from various aspects of operational research (OR) with the aim of presenting scientific ideas that will contribute both to theoretical development and practical application of OR. The scope of the journal covers the following subject areas: linear and non-linear programming, integer programing, combinatorial and discrete optimization, multi-objective programming, stohastic models and optimization, scheduling, macroeconomics, economic theory, game theory, statistics and econometrics, marketing and data analysis, information and decision support systems, banking, finance, insurance, environment, energy, health, neural networks and fuzzy systems, control theory, simulation, practical OR and applications. The audience includes both researchers and practitioners from the area of operations research, applied mathematics, statistics, econometrics, intelligent methods, simulation, and other areas included in the above list of topics. The journal has an international board of editors, consisting of more than 30 editors – university professors from Croatia, Slovenia, USA, Italy, Germany, Austria and other coutries.