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Statistical modelling of the EUR/DZD returns with infinite variance distribution

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Title: Statistical modelling of the EUR/DZD returns with infinite variance distribution

Authors: Ouadjed Hakim

Journal: Pakistan Journal of Statistics and Operation Research

HEC Recognition History
Category From To
Y 2020-07-01 2021-06-30

Publisher: Asiatic Region

Country: Pakistan

Year: 2019

Volume: 15

Issue: 2

Language: English

DOI: 10.18187/pjsor.v15i2.2654

Keywords: Extreme Value TheoryLévy-stable lawTail index.

Categories
Risk Management (1217) Mathematics (5170) Econometrics (4472) Financial Engineering (13) Statistics (8857)

Abstract

Extreme values can cause considerable damage in several sectors and especiallyin finance. In this article, we are interested in estimating some risk measuresfor the series of the EURO exchange rate against the DZD (Algerian dinar)using the lévy-stable distribution.

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