Tail estimation of the stable index \(\alpha\)

DOI10.1016/0893-9659(96)00031-6zbMath0855.62015OpenAlexW1990961106MaRDI QIDQ1921190

Svetlozar T. Rachev, Stefan Mittnik

Publication date: 9 February 1997

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0893-9659(96)00031-6

zbMATH Keywords

stable distributionsPickands estimatorHill estimatorindex of stabilityexistence of momentstail-estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10)

Related Items (12)

Random weighting estimation of stable exponent ⋮ A testable version of the Pareto-Stable CAPM ⋮ A tail estimator for the index of the stable paretian distribution^∗ ⋮ On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence ⋮ Option pricing for infinite variance data ⋮ Processes for stocks capturing their statistical properties from one day to one year ⋮ Comparison of estimators in stable models. ⋮ A simple estimator for the characteristic exponent of the stable Paretian distribution ⋮ Test of association between multivariate stable vectors. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Stable modeling of value at risk ⋮ Unnamed Item

Cites Work

• Best attainable rates of convergence for estimates of parameters of regular variation
• A simple general approach to inference about the tail of a distribution
• On some expansions of stable distribution functions
• MULTIVARIATE STABLE FUTURES PRICES
• Modeling asset returns with alternative stable distributions^*
• Unnamed Item
• Unnamed Item

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