Estimation Of Tail Parameter For Geometric Brownian Motion

Authors

Muhannad F. Al-Saadony, Department of Statistics, College of Administration and Economics, University of Al-Qadisiyah, Diwaniyah, IraqFollow
Noor Abd Hassan, Department of Statistics, College of Administration and Economics, University of Al-Qadisiyah, Diwaniyah, IraqFollow

Document Type

Article

Abstract

Right-tailed distributions are very important in many applications. There are many studies estimating the tail index. In this paper, we will estimate the tail parameter (⍺) using the three (the Direct, Bootstrap and Double Bootstrap) methods. Our aim is to illustrate the best way to estimate the ⍺-stable with (0〈⍺〈2) using simulation and real data for the daily Iraqi financial market dataset.

Keywords

Heavy-tailed; Geometric Brownian Motion; Tail index; Hill estimator; Bootstrap; Double Bootstrap and Direct method*

Recommended Citation

Al-Saadony, Muhannad F. and Hassan, Noor Abd (2021) "Estimation Of Tail Parameter For Geometric Brownian Motion," Al-Qadisiyah Journal of Pure Science: Vol. 26 : No. 5 , Article 1.
Available at: https://doi.org/10.29350/qjps.2021.26.5.1440

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This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.