Title page for etd-0623102-231529


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URN etd-0623102-231529
Author Liu-Yuen Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 5066 times. Download 49 times.
Department Applied Mathematics
Year 2001
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Fitting financial time series data to heavy tailed distribution
Date of Defense 2002-05-31
Page Count 51
Keyword
  • VaR
  • Pearson type IV
  • Stable
  • Pearson type VII
  • volatility
  • heavy tailed
  • Abstract Financial data, such as daily or monthly maximum log return of stock price usually possess heavy tail and skewness properties. In this thesis, we consider stock price data of computer hardware and money center banks. Heavy-tailed distributions including Pearson type IV, Pearson type VII and stable distribution were fitted to the daily log return of the data sets, and goodness of fit were compared. For the monthly
    maximum log return, nonlinear threshold time series models were fitted with heavy tailed innovation distributions. In addition, the value at risk and volatility of the data sets are derived from the fitted distributions.
    Advisory Committee
  • Chin-San Lee - chair
  • Chin-gnun Lee - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0623102-231529.pdf
  • indicate in-campus access only
    Date of Submission 2002-06-23

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