Download or read book Modelling extremal stock returns in a stable Paretian environment written by Hendrik Kohleick and published by GRIN Verlag. This book was released on 2005-02-14 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2003 in the subject Mathematics - Statistics, grade: 1,0, University of Cologne (Seminar für Wirtschafts- und Sozialstatistik), language: English, abstract: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. "Letting the tails speak for themselves" This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis.