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Refined Bootstrap for Stable Paretian Distributions

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product 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.

Product Specifications
SKU :COC31885
AuthorAdriana Cornea
LanguageEnglish
BindingPaperback
Number of Pages124
Publishing Year9/14/2010
ISBN978-3838326443
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-29 00:00:00