Parameter Estimation in Stable Law
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Knight, John L. & Satchell, Stephen E., 1997. "The Cumulant Generating Function Estimation Method," Econometric Theory, Cambridge University Press, vol. 13(2), pages 170-184, April.
- Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
- Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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.- Michael Rockinger & Maria Semenova, 2005. "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series rp150, International Center for Financial Asset Management and Engineering.
- Maria P. Braun & Simos G. Meintanis & Viatcheslav B. Melas, 2008. "Optimal Design Approach to GMM Estimation of Parameters Based on Empirical Transforms," International Statistical Review, International Statistical Institute, vol. 76(3), pages 387-400, December.
- Stojanović, Vladica S. & Popović, Biljana Č. & Milovanović, Gradimir V., 2016. "The Split-SV model," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 560-581.
- Barunik, Jozef & Vacha, Lukas, 2010.
"Monte Carlo-based tail exponent estimator,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4863-4874.
- 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.
- Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
- Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
- Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
- Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
- Liang Wang & Weixuan Xia, 2022.
"Power‐type derivatives for rough volatility with jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
- Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
- Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
- Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
- Rama Cont & Peter Tankov, 2009.
"Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices,"
Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
- Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
- Rama Cont & Peter Tankov, 2009. "Constant proportion portfolio insurance in presence of jumps in asset prices," Post-Print hal-00445646, HAL.
- José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
- Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
- Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(1), pages 2-42.
- Kotchoni, Rachidi, 2014.
"The indirect continuous-GMM estimation,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 464-488.
- Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
- Cornelis J. Potgieter & Marc G. Genton, 2013. "Characteristic Function-based Semiparametric Inference for Skew-symmetric Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 471-490, September.
- E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
- Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
More about this item
Keywords
bootstrap; characteristic function; cumulant function; parameter estimation; simulation; severity distribution;All these keywords.
Statistics
Access and download statisticsCorrections
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:gam:jrisks:v:4:y:2016:i:4:p:43-:d:83700. 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: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.