Estimating the conditional tail expectation of Walmart stock data

DOI10.17535/CRORR.2020.0008MaRDI QIDQ5147650zbMATH OpenOpenAlexFDO

Authors Hakim Ouadjed, Tawfiq Fawzi Mami

Publication date 27 January 2021

Published in Croatian operational research review (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.17535/crorr.2020.0008

zbMATH Keywords

autoregressive processLévy stable distributionrisk measure

Mathematics Subject Classification ID

Financial markets (91G15) Statistical methods; risk measures (91G70)

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Cites work

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• Coherent measures of risk
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• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• Limit theory for the sample covariance and correlation functions of moving averages
• Non-additive measure and integral
• On parameters estimation of stationary \(AR(1)\) with nonzero mean alpha-stable innovations in the case \(\alpha\in]1,2]\)
• Regression-Type Estimation of the Parameters of Stable Laws
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Simple consistent estimators of stable distribution parameters
• Tail behavior, modes and other characteristics of stable distribution

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