Efficient posterior integration in stable paretian models

DOI10.1007/BF02925925zbMath0954.62028MaRDI QIDQ1580845

Efthymios G. Tsonias

Publication date: 14 September 2000

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

stable distributionsstock returnsMarkov Chain Monte CarloMetropolis random walk chain

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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• Estimation of Stable Law Parameters: Stock Price Behavior Application
• Modeling asset returns with alternative stable distributions^*
• Tables and graphs of the stable probability density functions
• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• Bayesian Inference for Stable Distributions
• Monte Carlo sampling methods using Markov chains and their applications
• Estimation in Univariate and Multivariate Stable Distributions

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