Estimation of Stable Distributions by Indirect Inference-Reference-Cited by-同舟云学术

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Estimation of Stable Distributions by Indirect Inference

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Garcia René,Renault Eric,Veredas David

Publisher

Elsevier BV

Reference62 articles.

1. Risks and Portfolio Decisions involving Hedge Funds;V Agarwal;Review of Financial Studies,2004

2. Volatility estimators for discretely sampled Lévy processes

3. Estimation of Stable-Law Parameters: A Comparative Study;V Akgiray;Journal of Business and Economic Statistics,1989

4. Risk Management and Quantile Estimation;F Bassi;A Practical Guide to Heavy Tails,1998

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. References;Fundamental Statistical Inference;2018-09-08

2. Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR;SSRN Electronic Journal;2010

3. Testing Conditional Asymmetry: A Residual-Based Approach;SSRN Electronic Journal;2007

4. Indirect Estimation of Elliptical Stable Distributions;SSRN Electronic Journal;2007

5. On the Coherence of VAR Risk Measures for Levy Stable Distributions;SSRN Electronic Journal;2006

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