Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions

DOI10.1111/1467-9876.00161zbMath0939.62107OpenAlexW2118020910MaRDI QIDQ4262931

Philippe Lambert, James K. Lindsey

Publication date: 3 July 2000

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9876.00161

zbMATH Keywords

Fourier transformextreme valuesinfinite varianceskewnessstable distribution

Mathematics Subject Classification ID

Related Items (5)

A Bayesian approach for estimating the parameters of an α-stable distribution ⋮ Fast Bayesian inference using Laplace approximations in nonparametric double additive location-scale models with right- and interval-censored data ⋮ Nonparametric additive location-scale models for interval censored data ⋮ Diagnostic tools for random effects in the repeated measures growth curve model ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

This page was built for publication: Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions