Indirect Estimation of α-Stable Distributions and Processes
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Publication:3499435
DOI10.1111/J.1368-423X.2008.00234.XzbMATH Open1135.91406MaRDI QIDQ3499435FDOQ3499435
Authors: Marco J. Lombardi, Giorgio Calzolari 
Publication date: 29 May 2008
Published in: Econometrics Journal (Search for Journal in Brave)
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Cites Work
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Cited In (18)
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Estimating stable latent factor models by indirect inference
- Uncertainty quantification with \(\alpha\)-stable-process models
- Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios
- Testing conditional asymmetry: a residual-based approach
- Estimation of stable distributions by indirect inference
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Method to estimate index of skewness and dispersion of \(\alpha \)-stable distribution
- Indirect inference for locally stationary ARMA processes with stable innovations
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- The method of simulated quantiles
- Estimating the wrapped stable distribution via indirect inference
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Title not available (Why is that?)
- On the skewness parameter estimation for stable distributions
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Indirect estimation of elliptical stable distributions
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