A Simple Power-Law Tail Estimation of Financial Stock Return

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

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