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
Copyright and licensing
Copyright © 2019 Pakistan Journal of Statistics and Operation Research
Creative Commons Attribution 4.0 International (CC BY 4.0)
Reuse is governed by the linked license.
Publication information
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