The art of fitting financial time series with Levy stable distributions
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- Enrico Scalas & Kyungsik Kim, 2006. "The art of fitting financial time series with Levy stable distributions," Papers physics/0608224, arXiv.org.
References listed on IDEAS
- Rafał Weron, 2001.
"Levy-Stable Distributions Revisited: Tail Index> 2does Not Exclude The Levy-Stable Regime,"
International Journal of Modern Physics C (IJMPC),
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- Rafal Weron, 2001. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," HSC Research Reports HSC/01/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, EconWPA.
- 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.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- 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..
- Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
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- repec:nax:conyad:v:62:y:2017:i:4:p:1160-1182 is not listed on IDEAS
- Climent-Hernández, José Antonio & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2014.
"Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo
[Optimal Portfolio and Structured Notes in alpha-stable Markets: a Risk Minimization App," MPRA Paper 57740, University Library of Munich, Germany.
- Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 58(2), pages 147-163, June.
More about this item
Keywordsfinance; statistical methods; stable distributions;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-CFN-2006-10-21 (Corporate Finance)
- NEP-ECM-2006-10-21 (Econometrics)
- NEP-ETS-2006-10-21 (Econometric Time Series)
- NEP-RMG-2006-10-21 (Risk Management)
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