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Precise tabulation of the maximally-skewed stable distributions and densities

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  • Huston McCulloch, J.
  • Panton, Don B.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 23 (1997)
Issue (Month): 3 (January)
Pages: 307-320

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Handle: RePEc:eee:csdana:v:23:y:1997:i:3:p:307-320

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Phillips, Peter C. B. & Loretan, Mico, 1991. "The Durbin-Watson ratio under infinite-variance errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 85-114, January.
  2. repec:att:wimass:9208 is not listed on IDEAS
  3. Loretan, Mico & Phillips, Peter C. B., 1994. "Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 211-248, January.
  4. de Vries, Casper G., 1991. "On the relation between GARCH and stable processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 313-324, June.
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Cited by:
  1. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(5), pages 1-81.
  2. Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, EconWPA.
  3. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy.

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