Indirect Estimation of α-Stable Distributions and Processes

DOI10.1111/j.1368-423X.2008.00234.xzbMath1135.91406MaRDI QIDQ3499435

Giorgio Calzolari, Marco J. Lombardi

Publication date: 29 May 2008

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (11)

Indirect inference for locally stationary ARMA processes with stable innovations ⋮ Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood ⋮ Estimating the wrapped stable distribution via indirect inference ⋮ Testing conditional asymmetry: a residual-based approach ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Estimating stable latent factor models by indirect inference ⋮ The method of simulated quantiles ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ Indirect estimation of elliptical stable distributions ⋮ Estimation of stable distributions by indirect inference ⋮ Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models

Cites Work

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