Estimation of stable spectral measures

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1113-1122

  Nolan, J P ^a   Panorska, A K ^b   McCulloch, J H ^c  

^a AMERICAN UNIVERSITY   (United States)

^b DESERT RESEARCH INSTITUTE   (United States)

^c OHIO STATE UNIVERSITY   (United States)

Author keywords

Estimation; Financial modeling; Multivariate stable distributions; Spectral measure

Indexed keywords

EID: 0035943852     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00119-4     Document Type: Article

References (26)

1. The variation of certain speculative prices
2. The behavior of stock market prices
3. The stable-law model of stock returns
4. The theory of geometric stable distributions and its use in modeling financial data
5. Alternative multivariate stable distributions and their applications to financial modeling
6. Modeling asset returns with alternative stable distributions
7. Generalized stable models for financial asset returns
8. Simple consistent estimators of stable distribution parameters
9. Maximum likelihood estimation of stable parameters
10. Estimation in univariate and multivariate stable distributions
11. A method for simulating stable random vectors
12. Approximation of multidimensional stable densities
13. Calculation of multidimensional stable densities
14. Test for association of random variables in the domain of attraction of multivariate stable law
15. Multivariate stable future prices
16. Parameterizations and modes of stable distributions
17. Numerical approximation of the symmetric stable distribution and density
18. Numerical calculation of stable densities and distribution functions
19. Data analysis for heavy tailed multivariate samples
20. Estimation of bivariate stable spectral representation by the projection method
21. Extremes, modes and other characteristics of stable distributions