Estimating the probability of stock market crashes for Bucharest Stock Exchange using stable distributions
In this study we analyse the evolution of BET Bucharest Stock Exchange through an AR-GARCH model and we estimate the likelihood of extreme events using stable distributions. Using the time series of the Bucharest Stock Exchange main index BET we argue that stable distributions can significantly impr...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2012-07-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/746.pdf
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