On fitting the Pareto–Levy distribution
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H.F. Coronel-Brizio; A.R. Hernández-Montoya
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Article
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2005
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Elsevier Science
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English
⚖ 386 KB
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of stock markets indexes worldwide. The selection of the threshold parameter from empirical data and consequently, the determination of the exponent of