The theory of geometric stable distributions and its use in modeling financial data

DOI10.1016/0377-2217(94)90099-XzbMath0803.90008MaRDI QIDQ1330574

Svetlozar T. Rachev, Tomasz J. Kozubowski

Publication date: 18 August 1994

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

stable distributionsprobability distributionsfinancial datageometric stable distributionsgeometric stable lawsYen exchange rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probability distributions: general theory (60E05)

Related Items (27)

Integral and asymptotic representations of geo-stable densities ⋮ Linnik Lévy process and some extensions ⋮ Generalized stable models for financial asset returns ⋮ On moments and tail behavior of \(\nu\)-stable random variables ⋮ A note on the Cauchy-type mixture distributions ⋮ A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns ⋮ Analytic and asymptotic properties of multivariate generalized Linnik's probability densities ⋮ Domains of operator semi-attraction of probability measures on Banach spaces ⋮ Analytic and asymptotic properties of non-symmetric Linnik's probability densities ⋮ Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach ⋮ Stable Laws and the Present Value of Fixed Cash Flows ⋮ A Generalization to Bivariate Mittag–Leffler and Bivariate Discrete Mittag–Leffler Autoregressive Processes ⋮ Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme ⋮ Operator geometric stable laws ⋮ Time series models with asymmetric Laplace innovations ⋮ Convergence and inference for mixed Poisson random sums ⋮ Weak limits for multivariate random sums ⋮ Computer simulation of geometric stable distributions ⋮ Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions ⋮ Local prelimit theorems and their applications to finance ⋮ Multivariate geometric stable distributions in financial applications. ⋮ Geometric stable laws: Estimation and applications ⋮ Generalized convolutions on \(\mathbf R\) with applications to financial modeling ⋮ Asymmetric Laplace laws and modeling financial data ⋮ Fractional moment estimation of Linnik and Mittag-Leffler parameters ⋮ Estimation of stable spectral measures ⋮ Stable modeling of value at risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stable distributions for asset returns
• Option pricing for stable and infinitely divisible asset returns
• Geometric stable laws: Estimation and applications
• Asymptotic methods in reliability theory: a review
• A characteristic property of one class of limit distributions
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• Simple consistent estimators of stable distribution parameters
• A Method for Simulating Stable Random Variables
• First Passage Times for Combinations of Random Loads
• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long-Tailed Distributions

This page was built for publication: The theory of geometric stable distributions and its use in modeling financial data