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In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...
Universality in DAX index returns fluctuations
Bramwell-Holdsworth-Pinton stock exchange optimal parameters
2010/4/28
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily retu...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
German stock market index daily oil price time series
2010/4/27
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
stock market index (DAX) oil price time series
2010/10/18
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
DISTRIBUTIONAL ANALYSIS OF THE STOCKS COMPRISING THE DAX 30
Stable distributions heavy-tails tail estimation ARMA-GARCH DAX 30
2009/9/18
In this paper, we analyze the returns of stocks comprising
the German stock index DAX with respect to the a-stable distribution.
We apply nonparametric estimation methods such as the
Hill mtimator ...