A Simple Power-Law Tail Estimation of Financial Stock Return

• Format: Article
• Language: English
• Published: Universiti Kebangsaan Malaysia 2009
• Online Access: http://journalarticle.ukm.my/10/1/1.pdf; http://journalarticle.ukm.my/10/; http://pkukmweb.ukm.my/~jsm/kandungan.html

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....