Tail estimation of the stable index \(\alpha\)

DOI10.1016/0893-9659(96)00031-6zbMath0855.62015MaRDI QIDQ1921190

Svetlozar T. Rachev, Stefan Mittnik

Publication date: 9 February 1997

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0893-9659(96)00031-6

zbMATH Keywords

stable distributions; Pickands estimator; Hill estimator; index of stability; existence of moments; tail-estimation

Mathematics Subject Classification ID

62G05: Nonparametric estimation

62F10: Point estimation

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• Modeling asset returns with alternative stable distributions^*