This HTML5 document contains 44 embedded RDF statements represented using HTML+Microdata notation.

The embedded RDF content will be recognized by any processor of HTML5 Microdata.

Namespace Prefixes

PrefixIRI
n23http://linked.opendata.cz/ontology/domain/vavai/riv/typAkce/
dctermshttp://purl.org/dc/terms/
n18http://localhost/temp/predkladatel/
n9http://purl.org/net/nknouf/ns/bibtex#
n21http://linked.opendata.cz/resource/domain/vavai/riv/tvurce/
n15http://linked.opendata.cz/resource/domain/vavai/projekt/
n11http://linked.opendata.cz/resource/domain/vavai/subjekt/
n10http://linked.opendata.cz/ontology/domain/vavai/
n19https://schema.org/
shttp://schema.org/
skoshttp://www.w3.org/2004/02/skos/core#
rdfshttp://www.w3.org/2000/01/rdf-schema#
n3http://linked.opendata.cz/ontology/domain/vavai/riv/
n16http://linked.opendata.cz/resource/domain/vavai/vysledek/RIV%2F00216208%3A11320%2F12%3A10128603%21RIV13-GA0-11320___/
n2http://linked.opendata.cz/resource/domain/vavai/vysledek/
rdfhttp://www.w3.org/1999/02/22-rdf-syntax-ns#
n13http://linked.opendata.cz/ontology/domain/vavai/riv/klicoveSlovo/
n4http://linked.opendata.cz/ontology/domain/vavai/riv/duvernostUdaju/
xsdhhttp://www.w3.org/2001/XMLSchema#
n20http://linked.opendata.cz/ontology/domain/vavai/riv/aktivita/
n14http://linked.opendata.cz/ontology/domain/vavai/riv/jazykVysledku/
n17http://linked.opendata.cz/ontology/domain/vavai/riv/druhVysledku/
n12http://linked.opendata.cz/ontology/domain/vavai/riv/obor/
n8http://reference.data.gov.uk/id/gregorian-year/

Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F12%3A10128603%21RIV13-GA0-11320___
rdf:type
n10:Vysledek skos:Concept
rdfs:seeAlso
http://mme2012.opf.slu.cz/proceedings/pdf/138_Slamova.pdf
dcterms:description
This paper develops a new approach to modeling financial returns by introducing discrete stable distributions. It is well known that the financial returns are not normally distributed, extremal events occur more often than the Gaussian distribution suggests. Already in the sixties Benoit Mandelbrot suggested a hypothesis that returns follow a stable Paretian law. Inspired by the discrete nature of prices appearing on the markets we model the financial returns by discrete analogues of absolutely continuous stable distributions. The known discrete stability of random variables on N is generalized to the case of random variables on Z. We give brief introduction to the theory of discrete stability on Z, show connection of discrete stable random variables to their absolutely continuous counterparts and focus mainly on methods of estimation of parameters of these distributions from the real data of financial returns. This paper develops a new approach to modeling financial returns by introducing discrete stable distributions. It is well known that the financial returns are not normally distributed, extremal events occur more often than the Gaussian distribution suggests. Already in the sixties Benoit Mandelbrot suggested a hypothesis that returns follow a stable Paretian law. Inspired by the discrete nature of prices appearing on the markets we model the financial returns by discrete analogues of absolutely continuous stable distributions. The known discrete stability of random variables on N is generalized to the case of random variables on Z. We give brief introduction to the theory of discrete stability on Z, show connection of discrete stable random variables to their absolutely continuous counterparts and focus mainly on methods of estimation of parameters of these distributions from the real data of financial returns.
dcterms:title
Modelling financial returns by discrete stable distributions Modelling financial returns by discrete stable distributions
skos:prefLabel
Modelling financial returns by discrete stable distributions Modelling financial returns by discrete stable distributions
skos:notation
RIV/00216208:11320/12:10128603!RIV13-GA0-11320___
n10:predkladatel
n11:orjk%3A11320
n3:aktivita
n20:P
n3:aktivity
P(GAP203/12/0665), P(GBP402/12/G097)
n3:dodaniDat
n8:2013
n3:domaciTvurceVysledku
n21:3348725 n21:1682458
n3:druhVysledku
n17:D
n3:duvernostUdaju
n4:S
n3:entitaPredkladatele
n16:predkladatel
n3:idSjednocenehoVysledku
151090
n3:idVysledku
RIV/00216208:11320/12:10128603
n3:jazykVysledku
n14:eng
n3:klicovaSlova
M-estimator; parameter estimation; discrete stable distributions
n3:klicoveSlovo
n13:M-estimator n13:parameter%20estimation n13:discrete%20stable%20distributions
n3:kontrolniKodProRIV
[84B972A1B40A]
n3:mistoKonaniAkce
Karviná
n3:mistoVydani
Karviná
n3:nazevZdroje
Proceedings of 30th International Conference Mathematical Methods in Economics
n3:obor
n12:BB
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n15:GAP203%2F12%2F0665 n15:GBP402%2F12%2FG097
n3:rokUplatneniVysledku
n8:2012
n3:tvurceVysledku
Slámová, Lenka Klebanov, Lev
n3:typAkce
n23:CST
n3:zahajeniAkce
2012-09-11+02:00
s:numberOfPages
6
n9:hasPublisher
Silesian University in Opava, School of Business Administration
n19:isbn
978-80-7248-779-0
n18:organizacniJednotka
11320