Main Article Content
Abstract
Extreme values can cause considerable damage in several sectors and especially
in finance. In this article, we are interested in estimating some risk measures
for the series of the EURO exchange rate against the DZD (Algerian dinar)
using the lévy-stable distribution.
Keywords
Extreme value theory
Lévy-stable law
Tail index.
Article Details
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following License
CC BY: This license allows reusers to distribute, remix, adapt, and build upon the material in any medium or format, so long as attribution is given to the creator. The license allows for commercial use.
How to Cite
Hakim, O. (2019). Statistical modelling of the EUR/DZD returns with infinite variance distribution. Pakistan Journal of Statistics and Operation Research, 15(2), 451-460. https://doi.org/10.18187/pjsor.v15i2.2654
