Testing the stable Paretian assumption

DOI10.1016/S0895-7177(01)00118-2zbMath1003.62071OpenAlexW2013525650WikidataQ128066856 ScholiaQ128066856MaRDI QIDQ1600528

Marc S. Paolella

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00118-2

zbMATH Keywords

summabilityGARCHtail indexHill estimatorempirical finance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items

Fourier-type estimation of the power GARCH model with stable-Paretian innovations, Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions, Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model, Stable mixture GARCH models, Testing for independence in heavy-tailed time series using the codifference function, Estimating the codifference function of linear time series models with infinite variance, Tests for Volatility Shifts in Garch Against Long‐Range Dependence, Modeling fat tails in stock returns: a multivariate stable-GARCH approach, Accurate value-at-risk forecasting based on the normal-GARCH model, Stationarity of stable power-GARCH processes.

Uses Software

• STABLE
• SYMSTB

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• A simple general approach to inference about the tail of a distribution
• A single-blind controlled competition among tests for nonlinearity and chaos
• An approximation procedure for asymmetric stable Paretian densities
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• A simple estimator for the characteristic exponent of the stable Paretian distribution
• Maximum likelihood estimation of stable Paretian models.
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Stationarity of stable power-GARCH processes.
• On the relation between GARCH and stable processes
• Simple consistent estimators of stable distribution parameters
• Regression and time series model selection in small samples
• A tail estimator for the index of the stable paretian distribution^∗
• The limiting distribution of extremal exchange rate returns
• On the Stable Paretian Behavior of Stock-Market Prices
• A test for independence based on the correlation dimension
• Numerical calculation of stable densities and distribution functions
• Quadratic ARCH Models
• Parameter Estimates for Symmetric Stable Distributions
• Handbook of econometrics. Vol. 4