Estimation of stable distributions by indirect inference

Journal of Econometrics

Volumn 161, Issue 2, 2011, Pages 325-337

  Garcia, Ren ^a   Renault, Eric ^b,c   Veredas, David ^d  

^a EDHEC BUSINESS SCHOOL   (France)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

^d SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT   (Belgium)

Author keywords

Constrained indirect inference; Indirect inference; Skewed t distribution; Stable distribution

Indexed keywords

AUXILIARY MODELS; FINITE SAMPLES; INDIRECT INFERENCE; MONTE CARLO STUDY; SKEWED-T DISTRIBUTION; STABLE DISTRIBUTION; STABLE DISTRIBUTIONS; T DISTRIBUTION;

MONTE CARLO METHODS; SAMPLING;

ESTIMATION;

EID: 79952449868     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.12.007     Document Type: Article

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