Precise tabulation of the maximally-skewed stable distributions and densities
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References listed on IDEAS
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- de Vries, Casper G., 1991.
"On the relation between GARCH and stable processes,"
Journal of Econometrics,
Elsevier, vol. 48(3), pages 313-324, June.
- de Vries, C.G., 1990. "On the relation between GARCH and stable processes," Discussion Paper 1990-34, Tilburg University, Center for Economic Research.
- repec:att:wimass:9208 is not listed on IDEAS
- 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.
- 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.
- 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.
- Peter C.B. Phillips & Mico Loretan, 1989. "The Durbin-Watson Ratio Under Infinite Variance Errors," Cowles Foundation Discussion Papers 898R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
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