estimating the probability of stock market crashes for bucharest stock exchange using stable distributions
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ID: 221101
2012
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Abstract
In this study we analyse the evolution of BET Bucharest
Stock Exchange through an AR-GARCH model and we estimate the
likelihood of extreme events using stable distributions.
Using the time series of the Bucharest Stock Exchange main index
BET we argue that stable distributions can significantly improve the
prediction of an extreme event.
| Reference Key |
pele2012theoreticalestimating
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|---|---|
| Authors | ;Daniel Traian PELE |
| Journal | 2019 ieee 6th international conference on industrial engineering and applications, iciea 2019 |
| Year | 2012 |
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