Bivariate sub-Gaussian model for stock index returns
From MaRDI portal
Publication:2146838
DOI10.1016/j.physa.2017.05.080zbMath1499.91065OpenAlexW2624941750MaRDI QIDQ2146838
Agnieszka Wyłomańska, Matylda Jablonska-Sabuka, Marek Teuerle
Publication date: 21 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.05.080
characteristic function\(\alpha\)-stable processnonparametric methodsbivariate sub-Gaussian distribution
Related Items (4)
Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Identification and validation of periodic autoregressive model with additive noise: finite-variance case ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The method of simulated quantiles
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Estimating the codifference function of linear time series models with infinite variance
- Modeling chinese stock returns with stable distribution
- A GARCH option pricing model with \(\alpha\)-stable innovations
- Tests for normal mixtures based on the empirical characteristic function
- Goodness-of-fit tests based on empirical characteristic functions
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
- Estimation of stable spectral measures
- Tempered stable Lévy motion driven by stable subordinator
- Stable Paretian Random Functions and the Multiplicative Variation of Income
- Simple consistent estimators of stable distribution parameters
- Regression-Type Estimation of the Parameters of Stable Laws
- The stability test for symmetric alpha-stable distributions
- Regime Variance Testing --- a Quantile Approach
- Introduction to Econophysics
- A New Goodness-of-Fit Test Based on the Empirical Characteristic Function
- Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- A Test of Goodness of Fit
This page was built for publication: Bivariate sub-Gaussian model for stock index returns
