Open AccessEstimation Of Tail Parameter For Geometric Brownian Motion
Author(s) -
Noor Abd Hassan,
Muhannad Faiz Al-Saadony
Publication year - 2021
Publication title -
mağallaẗ al-qādisiyyaaẗ li-l-ʻulūm al-ṣirfaẗ
Language(s) - English
Resource type - Journals
eISSN - 2411-3514
pISSN - 1997-2490
DOI - 10.29350/qjps.2021.26.5.1440
Subject(s) - geometric brownian motion , econometrics , statistical physics , brownian motion , index (typography) , mathematics , computer science , statistics , physics , diffusion process , knowledge management , innovation diffusion , world wide web
Right-tailed distributions are very important in many applications. There are many studies estimating the tail index. In this paper, we will estimate the tail parameter using the three (the Direct, Bootstrap and Double Bootstrap) methods. Our aim is to illustrate the best way to estimate the -stable with using simulation and real data for the daily Iraqi financial market dataset.