Stable modeling of value at risk (Q1600544): Difference between revisions

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+MULTIVARIATE STABLE FUTURES PRICES
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+Q4885501
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+A testable version of the Pareto-Stable CAPM
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+Statistical methods in finance
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+Modeling asset returns with alternative stable distributions<sup>*</sup>
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+The theory of geometric stable distributions and its use in modeling financial data
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+Laplace-Weibull Mixtures for Modeling Price Changes
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+Testing multivariate symmetry
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+A tail estimator for the index of the stable paretian distribution<sup>∗</sup>
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+A simple general approach to inference about the tail of a distribution
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+Statistical inference using extreme order statistics
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+Tail estimation of the stable index \(\alpha\)
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+Parameter Estimates for Symmetric Stable Distributions
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+Simple consistent estimators of stable distribution parameters
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+Estimation in Univariate and Multivariate Stable Distributions
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+Regression-Type Estimation of the Parameters of Stable Laws
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+An iterative procedure for the estimation of the parameters of stable laws
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+Parameter Estimation for Symmetric Stable Distribution
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+The estimation of the parameters of the stable laws
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+Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
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+Maximum likelihood estimation of stable Paretian models.
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+On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
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+Numerical calculation of stable densities and distribution functions
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+Unconditional and conditional distributional models for the Nikkei index
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+Stable GARCH models for financial time series
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+https://doi.org/10.1016/s0895-7177(01)00129-7
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+W2033174532
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