On fitting the Pareto-Levy distribution to stock market index data: Selecting a suitable cutoff value

Physica A: Statistical Mechanics and its Applications

Volumn 354, Issue 1-4, 2005, Pages 437-449

  Coronel Brizio, H F ^a   Hernandez Montoya A R ^a  

^a UNIVERSIDAD VERACRUZANA   (Mexico)

Author keywords

Econophysics; Empirical distribution function; Goodnes of fit; Power law; Returns distribution

Indexed keywords

ECONOMIC AND SOCIAL EFFECTS; FUNCTIONS; MARKETING; PARAMETER ESTIMATION; PARETO PRINCIPLE; PROBABILITY DISTRIBUTIONS; THRESHOLD ELEMENTS;

ECONOPHYSICS; EMPIRICAL DISTRIBUTION FUNCTION; GOODNESS-OF-FIT; POWER LAWS; RETURNS DISTRIBUTION;

INDEXING (OF INFORMATION);

EID: 19944400765     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.03.001     Document Type: Article

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