Testing the stable Paretian assumption

DOI10.1016/S0895-7177(01)00118-2zbMATH Open1003.62071OpenAlexW2013525650WikidataQ128066856 ScholiaQ128066856MaRDI QIDQ1600528FDOQ1600528

Marc S. Paolella

Publication date: 13 June 2002

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

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00118-2

zbMATH Keywords

GARCHHill estimatorsummabilitytail indexempirical finance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Regression and time series model selection in small samples
• A test for independence based on the correlation dimension
• Quadratic ARCH Models
• Title not available (Why is that?)
• A simple estimator for the characteristic exponent of the stable Paretian distribution
• A simple general approach to inference about the tail of a distribution
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Numerical calculation of stable densities and distribution functions
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parameter Estimates for Symmetric Stable Distributions
• A single-blind controlled competition among tests for nonlinearity and chaos
• Title not available (Why is that?)
• Maximum likelihood estimation of stable Paretian models.
• Stationarity of stable power-GARCH processes.
• On the Stable Paretian Behavior of Stock-Market Prices
• Handbook of econometrics. Vol. 4
• Simple consistent estimators of stable distribution parameters
• On the relation between GARCH and stable processes
• A tail estimator for the index of the stable paretian distribution^∗
• An approximation procedure for asymmetric stable Paretian densities
• The limiting distribution of extremal exchange rate returns
• Title not available (Why is that?)

Cited In (12)

• Estimating the codifference function of linear time series models with infinite variance
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Testing for independence in heavy-tailed time series using the codifference function
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Title not available (Why is that?)
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Title not available (Why is that?)
• Stationarity of stable power-GARCH processes.
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence
• Stable mixture GARCH models

Uses Software

• STABLE
• SYMSTB

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