Editors’ introduction: Heavy tails and stable Paretian distributions in econometrics

Author:

Dufour Jean-Marie,Kurz-Kim Jeong-Ryeol

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference8 articles.

1. The Stable-Law Model of Stock Returns;Akgiray;J. Bus. Econom.,1988

2. Monte Carlo tests with nuisance parameters: a general approach to finite sample inference and nonstandard asymptotics in econometrics;Dufour;J. Econometrics,2006

3. The cross-section of expected stock returns;Fama;J. Finance,1992

4. Demand-driven innovation and spatial competition over time;Jovanovic;Rev. Econom. Stud.,1987

5. Simple consistent estimators of stable distribution parameters;McCulloch;Comm. Statist. Simulation Comput.,1986

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1. Heterogenous market hypothesis evaluation using multipower variation volatility;Communications in Statistics - Simulation and Computation;2016-08-19

2. Asymptotic stochastic dominance rules for sums of i.i.d. random variables;Journal of Computational and Applied Mathematics;2016-07

3. Asymptotic Multivariate Dominance: A Financial Application;Methodology and Computing in Applied Probability;2016-06-11

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