MS (Master of Science)
Date of Award
Committee Chair or Co-Chairs
Nicole Lewis, Robert Price, Gary Shelley, Michele Joyner
Statistical inference is a tool for creating models that can accurately display real-world events. Special importance is given to the financial methods that model risk and large price movements. A parameter that describes tail heaviness, and risk overall, is α. This research finds a representative distribution that models α. The absolute value of standardized stock returns from the Center for Research on Security Prices are used in this research. The inference is performed using R. Approximations for α are found using the ptsuite package. The GAMLSS package employs maximum likelihood estimation to estimate distribution parameters using the CRSP data. The distributions are selected by using AIC and worm plots. The Skew t family is found to be representative for the parameter α based on subsets of the CRSP data. The Skew t type 2 distribution is robust for multiple subsets of values calculated from the CRSP stock return data.
Thesis - embargo
Burns, Jett, "Finding a Representative Distribution for the Tail Index Alpha, α, for Stock Return Data from the New York Stock Exchange" (2022). Electronic Theses and Dissertations. Paper 4058. https://dc.etsu.edu/etd/4058
Copyright by the authors.