Stable and generalized-\(t\) distributions and applications

DOI10.1016/J.CNSNS.2012.05.013zbMath1266.60023OpenAlexW2077735923MaRDI QIDQ1948247

T. B. Carrijo, T. R. Sousa, G. S. Rodrigues, Murilo G. Coutinho, Pushpa N. Rathie

Publication date: 2 May 2013

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2012.05.013

zbMATH Keywords

heavy tailstime series analysissunspotsfinancial data\(\chi^2\)-divergencestable and generalized-\(t\) distributions

Mathematics Subject Classification ID

Economic time series analysis (91B84) Probability distributions: general theory (60E05)

Related Items (5)

Combined multiplicative-Heston model for stochastic volatility ⋮ Exact distribution of the product and the quotient of two stable Lévy random variables ⋮ Permutation entropy analysis of financial time series based on Hill's diversity number ⋮ Unnamed Item ⋮ Exact and approximate expressions for the reliability of stable Lévy random variables with applications to stock market modelling

Uses Software

• STABLE
• itsmr
• Unnamed Item

Cites Work

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• Lévy flight approximations for scaled transformations of random walks
• International finance, Lévy distributions, and the econophysics of exchange rates
• The special functions and their approximations. Vol. I, II
• Solutions of the Fractional Reaction Equation and the Fractional Diffusion Equation
• Simple consistent estimators of stable distribution parameters
• Exact Distribution of Product of Generalized F-Variates
• Numerical calculation of stable densities and distribution functions
• Introduction to Time Series and Forecasting
• Statistical Tools for Finance and Insurance
• A Simplex Method for Function Minimization

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