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On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value

Author

Listed:
  • H. F. Coronel-Brizio

    (Facultad de Fisica e Inteligencia Artificial, Universidad Veracruzana, Xalapa Veracruz, Mexico.)

  • A. R. Hernandez-Montoya

    (Facultad de Fisica e Inteligencia Artificial, Universidad Veracruzana, Xalapa Veracruz, Mexico.)

Abstract

The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for gamma

Suggested Citation

  • H. F. Coronel-Brizio & A. R. Hernandez-Montoya, 2004. "On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value," Papers cond-mat/0411161, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0411161
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    Cited by:

    1. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.

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