IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v23y1997i3p307-320.html
   My bibliography  Save this article

Precise tabulation of the maximally-skewed stable distributions and densities

Author

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

Abstract

No abstract is available for this item.

Suggested Citation

  • Huston McCulloch, J. & Panton, Don B., 1997. "Precise tabulation of the maximally-skewed stable distributions and densities," Computational Statistics & Data Analysis, Elsevier, vol. 23(3), pages 307-320, January.
    • Handle: RePEc:eee:csdana:v:23:y:1997:i:3:p:307-320
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(96)00039-4
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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. 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.
    3. 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.
    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.
    5. Graham J. Worsdale, 1975. "Tables of Cumulative Distribution Functions for Symmetric Stable Distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 24(1), pages 123-131, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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 (IfW Kiel).
    2. Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, University Library of Munich, Germany.
    3. 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 (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
    4. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
    2. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    3. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
    5. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
    6. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
    7. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
    8. Trapani, Lorenzo, 2016. "Testing for (in)finite moments," Journal of Econometrics, Elsevier, vol. 191(1), pages 57-68.
    9. Makoto Maejima & Gennady Samorodnitsky, 1999. "Certain Probabilistic Aspects of Semistable Laws," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 449-462, September.
    10. Foad Shokrollahi & Marcin Marcin Magdziarz, 2020. "Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate," Papers 2007.12228, arXiv.org, revised Nov 2020.
    11. Frederick Ploeg & Aart Zeeuw, 1992. "International aspects of pollution control," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 2(2), pages 117-139, March.
    12. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    13. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    14. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
    15. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
    16. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
    17. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
    18. Michna, Zbigniew, 2008. "Asymptotic behavior of the supremum tail probability for anomalous diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 413-417.
    19. Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
    20. Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:23:y:1997:i:3:p:307-320. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.