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Estimation of stable distributions with indirect inference

  • Rene Garcia
  • Eric Renault
  • David Veredas

This article deals with the estimation of the parameters of an α-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the α-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show that this method delivers estimators with good properties in finite sample. We provide an empirical application to the distribution of jumps in the S&P 500 index returns. © 2010 Elsevier B.V. All rights reserved.

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Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/136186.

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Date of creation: 2011
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Publication status: Published in: Journal of econometrics (2011) v.161 n° 3,p.325-337
Handle: RePEc:ulb:ulbeco:2013/136186
Note: SCOPUS: ar.j
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