50只股票在危机期间的尾部行为

Q2 Decision Sciences Advances in Decision Sciences Pub Date : 2021-01-01 DOI:10.47654/v25y2021i4p115-151
G. Srilakshminarayana
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引用次数: 0

摘要

该研究还建议先估算尾部指数,然后再决定其他分析股市价格的方法。从历史上看,股票和其他资产的价格是经济活动的重要组成部分,可以作为社会情绪的指标。股票市场价格建模是一个古老的问题,多年来,研究人员一直使用正常模型对股票价格进行建模。极端的存在增加了股票价格随机变量的波动性,并影响其尾部的对称性。
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Tail Behaviour of the Nifty-50 Stocks during Crises Periods
The study also recommends estimating the tail index and then deciding upon any other methodology for analyzing the stock market prices. According to the history, price of stocks and other assets are an important part of economic activity and can act as an indicator of social mood. Modelling the stock market prices is an age-old problem, and for many years researchers have modelled the stock prices using a normal model. The presence of the extremes increases the volatility of the stock price random variable and affects its symmetric nature at the tails.
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来源期刊
Advances in Decision Sciences
Advances in Decision Sciences Mathematics-Applied Mathematics
CiteScore
4.70
自引率
0.00%
发文量
18
审稿时长
29 weeks
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