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  • Szymon Borak
  • Wolfgang Härdle
  • Rafal Weron

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-008.pdf
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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-008.

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Length: 28 pages
Date of creation: Mar 2005
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2005-008

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References

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  1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
  2. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.
  3. McCulloch, J Huston, 1997. "Measuring Tail Thickness to Estimate the Stable Index Alpha: A Critique," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 74-81, January.
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Cited by:
  1. Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Jozef Barunik & Ladislav Kristoufek, 2012. "On Hurst exponent estimation under heavy-tailed distributions," Papers 1201.4786, arXiv.org.
  3. Dominik Krezolek, 2012. "Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 89-104.
  4. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2005. "Financial volatility and independent and identically distributed variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 484-498.
  5. Edoardo Gaffeo & Antonello E. Scorcu & Laura Vici, 2008. "Demand Distribution Dynamics in Creative Industries: the Market for Books in Italy," Working Paper Series 09-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  6. Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  7. Jozef Barunik & Lukas Vacha, 2010. "Monte Carlo-Based Tail Exponent Estimator," Working Papers IES 2010/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2010.
  8. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
  9. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
  10. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
  11. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
  12. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
  13. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  14. Raul Matsushita & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2004. "The Econophysics of the Brazilian Real-US Dollar Rate," Finance 0407012, EconWPA.

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