Stable distributions for asset returns

DOI10.1016/0893-9659(89)90074-8zbMath0709.62708OpenAlexW2047391988MaRDI QIDQ921834

Stefan Mittnik, Svetlozar T. Rachev

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0893-9659(89)90074-8

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (19)

On improved volatility modelling by fitting skewness in ARCH models ⋮ The theory of geometric stable distributions and its use in modeling financial data ⋮ On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws ⋮ Modeling asset returns with alternative stable distributions^* ⋮ Product representations for random variables with Weibull distributions and their applications ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Multivariate option price models and extremes ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ Unnamed Item ⋮ Convergence and inference for mixed Poisson random sums ⋮ Rates of convergence of \(\alpha\)-stable random motions ⋮ Control Chart for Monitoring Autocorrelated Process with Multiple Exogenous Inputs ⋮ Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution ⋮ Efficient posterior integration in stable paretian models ⋮ MULTIVARIATE STABLE FUTURES PRICES ⋮ Monte Carlo inference in econometric models with symmetric stable disturbances ⋮ Test of association between multivariate stable vectors. ⋮ Discrete time parametric models with long memory and infinite variance ⋮ Geometric stable distributions in Banach spaces

Cites Work

• Modeling asset returns with alternative stable distributions^*

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