Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
Power-law tail behavior and the summation scheme of Levy-stable (alpha- stable) distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset returns exhibit tail exponents well above the Levy-stable regime (0
|Date of creation:||16 May 2003|
|Note:||Type of Document - PDF; prepared on PC-TEX; pages: 14 ; figures: 10 included. Appeared in: International Journal of Modern Physics C, Vol. 12, No. 2 (2001) 209-223.|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- Weron, Rafal, 1996.
"Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables","
20761, University Library of Munich, Germany, revised 2010.
- 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. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June. Full references (including those not matched with items on IDEAS)
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