A simple power-law tail estimation of financial stock return

W. E N Chin Cheong, Abu Hassan Shaari Md Nor, Zaidi Isa

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill's estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation. The threshold extreme values can be selected bases on the desired level of p-value in the goodness-of-fit tests. Finally, these procedures are apply to three indices in the Malaysian stock exchange.

Original languageEnglish
Pages (from-to)745-749
Number of pages5
JournalSains Malaysiana
Volume38
Issue number5
Publication statusPublished - Oct 2009

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Stock returns
Stock exchange
Power law
Empirical distribution
Extreme values
Goodness of fit test
Methodology
Maximum likelihood
Tail index
Hill estimator
P value

Keywords

  • Goodness-of-fit test
  • Hill estimator
  • Power-law distribution
  • Stock exchange

ASJC Scopus subject areas

  • General

Cite this

Chin Cheong, W. E. N., Md Nor, A. H. S., & Isa, Z. (2009). A simple power-law tail estimation of financial stock return. Sains Malaysiana, 38(5), 745-749.

A simple power-law tail estimation of financial stock return. / Chin Cheong, W. E N; Md Nor, Abu Hassan Shaari; Isa, Zaidi.

In: Sains Malaysiana, Vol. 38, No. 5, 10.2009, p. 745-749.

Research output: Contribution to journalArticle

Chin Cheong, WEN, Md Nor, AHS & Isa, Z 2009, 'A simple power-law tail estimation of financial stock return', Sains Malaysiana, vol. 38, no. 5, pp. 745-749.
Chin Cheong WEN, Md Nor AHS, Isa Z. A simple power-law tail estimation of financial stock return. Sains Malaysiana. 2009 Oct;38(5):745-749.
Chin Cheong, W. E N ; Md Nor, Abu Hassan Shaari ; Isa, Zaidi. / A simple power-law tail estimation of financial stock return. In: Sains Malaysiana. 2009 ; Vol. 38, No. 5. pp. 745-749.
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