A Simple Power-Law Tail Estimation of Financial Stock Return

This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill’s estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation....

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Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2009
Online Access:	http://journalarticle.ukm.my/10/ http://journalarticle.ukm.my/10/ http://journalarticle.ukm.my/10/1/1.pdf

id	ukm-10
recordtype	eprints
spelling	ukm-102016-12-14T06:26:10Z http://journalarticle.ukm.my/10/ A Simple Power-Law Tail Estimation of Financial Stock Return This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill’s estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation. The threshold extreme values can be selected bases on the desired level of p-value in the goodness-of-fit tests. Finally, these procedures are apply to three indices in the Malaysian stock exchange. Universiti Kebangsaan Malaysia 2009-10 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10/1/1.pdf UNSPECIFIED (2009) A Simple Power-Law Tail Estimation of Financial Stock Return. pp. 745-749. ISSN 0126-6039 http://pkukmweb.ukm.my/~jsm/kandungan.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill’s estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation. The threshold extreme values can be selected bases on the desired level of p-value in the goodness-of-fit tests. Finally, these procedures are apply to three indices in the Malaysian stock exchange.
format	Article
title	A Simple Power-Law Tail Estimation of Financial Stock Return
spellingShingle	A Simple Power-Law Tail Estimation of Financial Stock Return
title_short	A Simple Power-Law Tail Estimation of Financial Stock Return
title_full	A Simple Power-Law Tail Estimation of Financial Stock Return
title_fullStr	A Simple Power-Law Tail Estimation of Financial Stock Return
title_full_unstemmed	A Simple Power-Law Tail Estimation of Financial Stock Return
title_sort	simple power-law tail estimation of financial stock return
publisher	Universiti Kebangsaan Malaysia
publishDate	2009
url	http://journalarticle.ukm.my/10/ http://journalarticle.ukm.my/10/ http://journalarticle.ukm.my/10/1/1.pdf
first_indexed	2023-09-18T19:00:59Z
last_indexed	2023-09-18T19:00:59Z
_version_	1777403071375081472

A Simple Power-Law Tail Estimation of Financial Stock Return

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