Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns

DOI10.1007/978-3-7908-2050-8_6zbMath1154.91601OpenAlexW195191549MaRDI QIDQ3606097

Sebastian Kring, Frank J. Fabozzi, Markus Höchstötter, Svetlozar T. Rachev

Publication date: 26 February 2009

Published in: Contributions to Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_6

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory of statistical distributions (62E10)

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