Generalized stable models for financial asset returns

DOI10.1016/0377-0427(95)00144-1zbMath0852.90017OpenAlexW2109602248MaRDI QIDQ1919502

Anna K. Panorska

Publication date: 23 July 1996

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(95)00144-1

zbMATH Keywords

generalized stabilityfinancial modelingexchange rate datageneralized stable distributions for financial asset returns

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

Boundary regularity for fully nonlinear integro-differential equations ⋮ A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns ⋮ Slash distributions, generalized convolutions, and extremes ⋮ Asymptotic stochastic dominance rules for sums of i.i.d. random variables ⋮ Multivariate geometric stable distributions in financial applications. ⋮ Geometric stable laws: Estimation and applications ⋮ Generalized convolutions on \(\mathbf R\) with applications to financial modeling ⋮ Estimation of stable spectral measures

Cites Work

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• The theory of geometric stable distributions and its use in modeling financial data
• Generalized convolutions on \(\mathbf R\) with applications to financial modeling
• Simple consistent estimators of stable distribution parameters
• Modeling asset returns with alternative stable distributions^*

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