A simple estimator for the characteristic exponent of the stable Paretian distribution

DOI10.1016/S0895-7177(99)00099-0zbMATH Open0990.62021OpenAlexW2047654828MaRDI QIDQ1596876FDOQ1596876

Authors: Stefan Mittnik, Marc S. Paolella 

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00099-0

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Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10)

Cites Work

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• Title not available (Why is that?)
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• A tail estimator for the index of the stable paretian distribution^∗
• Title not available (Why is that?)
• Option pricing for stable and infinitely divisible asset returns
• Tail estimation of the stable index \(\alpha\)
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Cited In (13)

• Simple consistent estimators of stable distribution parameters
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• On estimation and testing goodness of fit for \(m\)-dependent stable sequences
• Estimation of the characteristic exponent of stable laws
• Minimum-Distance Estimator for Stable Exponent
• Comparison of estimators in stable models.
• Testing the stable Paretian assumption
• Average sample number function for Pareto heavy tailed distributions
• Properties and estimation of asymmetric exponential power distribution
• A tail estimator for the index of the stable paretian distribution^∗
• Title not available (Why is that?)
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique

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