Document Type
Thesis - University Access Only
Award Date
2010
Degree Name
Master of Science (MS)
Department / School
Mathematics and Statistics
Abstract
This thesis studies the efficacy and reliability of certain probability distributions' abilities to estimate extreme market returns. The data sets analyzed are the S&P 500 from 2001 to 2009 and the Dow Jones Industrial Average from 1928 to 2009. The analysis creates a ratio between the observed proportion of absolute returns above a given amount and the estimated proportion based on the previous period's data. Finally, the distributions are compared based on the sum of the absolute differences of the observed and estimated proportions over a large time interval.
Library of Congress Subject Headings
Stocks
Rate of return -- Forecasting
Rate of return -- Econometric models
Format
application/pdf
Number of Pages
67
Publisher
South Dakota State University
Recommended Citation
Schmitz, Adam Bilyeu, "Estimating Probabilities of Extreme Market Returns" (2010). Electronic Theses and Dissertations. 1695.
https://openprairie.sdstate.edu/etd2/1695