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Risk estimation for short-term financial data through pooling of stable fits
Authors:De Donno  Marzia  Donati  Riccardo  Favero  Gino  Modesti  Paola
Institution:1.Department of Economics and Management, University of Parma, via Kennedy, 6, 43125, Parma, Italy
;2.Redexe S.r.l., p.le Giusti, 8, 36100, Vicenza, Italy
;
Abstract:Financial Markets and Portfolio Management - We suggest a new, parsimonious, method to fit financial data with a stable distribution. As a result of a stable fitting via maximum likelihood...
Keywords:
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