Estimation of stable distributions with indirect inference
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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|Date of creation:||2011|
|Publication status:||Published in: Journal of econometrics (2011) v.161 n° 3,p.325-337|
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