The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions

DOI10.1016/S0377-2217(95)00330-4zbMath1013.91507OpenAlexW2077214842MaRDI QIDQ1278070

Hon-Shiang Lau, Amy Hing-Ling Lau

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(95)00330-4

zbMATH Keywords

financemixture of distributionsstable-Paretian distribution

Mathematics Subject Classification ID

Related Items (1)

Testing for stability based on the empirical characteristic funstion with applications to financial data

Cites Work

• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• An iterative procedure for the estimation of the parameters of stable laws
• A Method for Simulating Stable Random Variables
• Portfolio Analysis in a Stable Paretian Market
• Parameter Estimates for Symmetric Stable Distributions

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