Estimating the Index of a Stable Distribution

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Estimating the Index of a Stable Distribution

Author Info

L. de Haan (Erasmus University Rotterdam)
T. Themido Pereira (University of Lisbon)

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Laurens de Haan

Abstract

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-040/4.

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Date of creation: 30 Mar 1997
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Handle: RePEc:dgr:uvatin:19970040

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Article
- de Haan, L. & Pereira, T. Themido, 1999. "Estimating the index of a stable distribution," Statistics & Probability Letters, Elsevier, vol. 41(1), pages 39-55, January. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Laurens F.M. de Haan & Liang Peng & H. Iglesias Pereira, 1997. "Approximation by Penultimate Stable Laws," Tinbergen Institute Discussion Papers 97-100/4, Tinbergen Institute. [Downloadable!]
Jaap Geluk & Liang Peng & Casper G. de Vries, 1999. "Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series," Tinbergen Institute Discussion Papers 99-088/2, Tinbergen Institute. [Downloadable!]
J.L. Geluk & L. Peng, 1999. "An adaptive optimal estimate of the tail index for MA(1) time series," Econometric Institute Report 109, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

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This page was last updated on 2009-12-10.

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