Application of the Beck model to stock m
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M. Kozaki; A.-H. Sato
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Article
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2008
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Elsevier Science
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English
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We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We p