Linear and nonlinear regression with stable errors
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Marc Hallin & Yves-Caoimhin Swan & Thomas Verdebout & David Veredas, 2013. "R-estimation in linear models with stable errors," ULB Institutional Repository 2013/136281, ULB -- Universite Libre de Bruxelles.
- repec:wsi:wschap:9789814287067_0001 is not listed on IDEAS
- Robert Blattberg & Thomas Sargent, 2010.
"Regression With Non-Gaussian Stable Disturbances: Some Sampling Results,"
World Scientific Book Chapters,in: Perspectives On Promotion And Database Marketing The Collected Works of Robert C Blattberg, chapter 1, pages 7-16
World Scientific Publishing Co. Pte. Ltd..
- Blattberg, Robert & Sargent, Thomas J, 1971. "Regression with Non-Gaussian Stable Disturbances: Some Sampling Results," Econometrica, Econometric Society, vol. 39(3), pages 501-510, May.
- Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
- Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
- Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0282-9 is not listed on IDEAS
- repec:gam:jrisks:v:6:y:2018:i:3:p:93-:d:168825 is not listed on IDEAS
- Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, vol. 172(2), pages 205-221.
- Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele, 2016. "A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors," Working Papers 19, European Stability Mechanism.
- repec:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492 is not listed on IDEAS
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-28, May.
- Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
More about this item
KeywordsHeavy tailed regression; Stable distributions; Score function;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
StatisticsAccess and download statistics
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:econom:v:172:y:2013:i:2:p:186-194. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jeconom .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.