statistique, théorie et gestion de portefeuille - Docs at ISFA

Dow Jones positive tail Dow Jones negative tail
ˆηT ˆb p-value ˆηT ˆb p-value
1 1.044 0.204 100.000% 0.979 0.199 100.000%
2 1.123 0.576 100.000% 1.050 0.538 100.000%
3 1.229 0.782 100.000% 1.148 0.745 100.000%
4 1.351 0.989 100.000% 1.259 0.920 100.000%
5 1.493 1.219 100.000% 1.388 1.114 100.000%
6 1.653 1.447 100.000% 1.538 1.327 100.000%
7 1.835 1.685 100.000% 1.715 1.563 100.000%
8 2.069 1.984 100.000% 1.912 1.804 100.000%
9 2.294 2.240 100.000% 2.141 2.060 100.000%
10 2.605 2.575 99.997% 2.489 2.436 100.000%
11 2.732 2.715 99.165% 2.626 2.581 99.997%
12 2.809 2.787 98.487% 2.803 2.765 99.766%
13 2.895 2.877 94.723% 2.835 2.782 99.869%
14 2.943 2.920 94.010% 2.960 2.903 99.514%
15 3.027 2.989 95.032% 3.116 3.059 97.480%
16 3.261 3.226 80.157% 3.690 3.690 5.634%
17 3.447 3.427 58.002% 3.527 3.518 38.929%
18 3.818 3.818 - 4.168 4.168 -
Nasdaq positive tail Nasdaq negative tail
ˆηT ˆb p-value ˆηT ˆb p-value
1 1.019 0.256 100.000% 1.000 0.254 100.000%
2 1.118 0.555 100.000% 1.090 0.548 100.000%
3 1.225 0.765 100.000% 1.194 0.755 100.000%
4 1.347 0.970 100.000% 1.312 0.945 100.000%
5 1.486 1.169 100.000% 1.447 1.122 100.000%
6 1.650 1.400 100.000% 1.605 1.325 100.000%
7 1.840 1.639 100.000% 1.796 1.562 100.000%
8 2.069 1.916 100.000% 2.032 1.838 100.000%
9 2.393 2.308 100.000% 2.353 2.195 100.000%
10 2.799 2.759 99.994% 2.900 2.824 100.000%
11 2.974 2.955 98.132% 3.070 3.008 99.996%
12 3.232 3.232 22.570% 3.372 3.352 92.329%
13 3.232 3.231 28.945% 3.457 3.441 85.305%
14 3.358 3.358 - 3.563 3.551 69.909%
15 3.281 3.281 - 3.730 3.728 27.179%
16 3.327 3.327 - 3.991 3.990 13.117%
17 3.372 3.372 - 3.923 3.917 27.655%
18 3.136 3.136 - 4.251 4.251 -
Table 14: Test of the (SE) model against the null hypothesis that the true model is the Pareto model. The
p-value gives the significance with which one can reject the null hypothesis.
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