Computing the probability density function of the stable Paretian distribution

Mathematical and Computer Modelling

Volumn 29, Issue 10-12, 1999, Pages 235-240

  Mittnik, S ^a   Doganoglu, T ^a   Chenyao, D ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b New York Stock Exchange Inc   (United States)

Author keywords

Density approximation; Fast Fourier transform; Financial modeling; Heavy tailed data

Indexed keywords

EID: 0033133786     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00106-5     Document Type: Article

References (10)

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10. 10. Y. Chen, Distributions for asset returns, unpublished Ph.D. Thesis, Department of Economics, SUNY at Stony Brook, (1991).