Indirect estimation of alpha-stable distributions and processes
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- Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, March.
References listed on IDEAS
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Cited by:
- 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.
- Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
- Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Lombardi, Marco J. & Veredas, David, 2009.
"Indirect estimation of elliptical stable distributions,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
- LOMBARDI, Marco & VEREDAS, David, 2007. "Indirect estimation of elliptical stable distributions," LIDAM Discussion Papers CORE 2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012.
"Testing conditional asymmetry: A residual-based approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
- Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
- Lambert, Philippe & Laurent, Sebastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," LIDAM Reprints ISBA 2012006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.
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More about this item
Keywords
Indirect inference; Alpha-stable distributions; Heavy tails.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-05-23 (Econometrics)
- NEP-ETS-2005-05-23 (Econometric Time Series)
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