Additive versus multiplicative parameters - applications in economics and finance
Statistical Finance
2016-12-13 v2
Abstract
In this paper, we pay our attention to geometric parameters and their applications in economics and finance. We discuss the multiplicative models in which a geometric mean and a geometric standard deviation are more natural than arithmetic ones. We give two examples from Warsaw Stock Exchange in 1995--2009 and from a bid of 52-week treasury bills in 1992--2009 in Poland as an illustrative example. For distributions having applications in finance and insurance we give their multiplicative parameters as well as their estimations. We consider, among others, heavy-tailed distributions such as lognormal and Pareto distribution, applied to modelling of large losses.
Keywords
Cite
@article{arxiv.1306.4994,
title = {Additive versus multiplicative parameters - applications in economics and finance},
author = {Helena Jasiulewicz and Wojciech Kordecki},
journal= {arXiv preprint arXiv:1306.4994},
year = {2016}
}