文章基本信息

标题：Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation
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作者：Kimera Naradh ; Retius Chifurira ; Knowledge Chinhamu 等
期刊名称：International Journal of Finance & Banking Studies
印刷版ISSN：2147-4486
出版年度：2022
卷号：11
期号：1
页码：120-131
DOI：10.20525/ijfbs.v11i1.1524
语种：English
出版社：Society for the Study of Business & Finance
摘要：In the preceding decade, the South African economy has experienced challenges due to global disruptive events, hence, the implementation of risk mitigation strategies becomes a priority in volatile markets. Stable distributions account for skewness and heavy-tailed behaviour which are frequently observed in financial data. This study aims to investigate the fit of stable distributions for three FTSE/JSE indices and the USD/ZAR currency exchange rate. The maximum likelihood method was applied to fit.
关键词：Stable distributions;Nolan’s S_0-parameterization;Stable parameter estimation;VaR;Kupiec likelihood ratio test