On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk
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References listed on IDEAS
- Rafal Weron, 1996.
"Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables","
HSC Research Reports
HSC/96/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
- Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.
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