Exploring Heavy Tails Pareto and Generalized Pareto Distributions
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چکیده
This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P; 500 index are typically analyzed by using the returns of the index. We use the log-returns R> WSPLRet hist(WSPLRet)
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Exploring Heavy Tails Pareto and Generalized Pareto Distributions
This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P 500 index are typically analyzed by using the returns of...
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