Estimation of Stable Law Parameters: Stock Price Behavior Application

DOI10.2307/2285957zbMATH Open0307.62022OpenAlexW4249384787MaRDI QIDQ4064852FDOQ4064852

Authors: Robert Leitch, A. S. Paulson 

Publication date: 1975

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2285957

Mathematics Subject Classification ID

Point estimation (62F10) Sums of independent random variables; random walks (60G50) Trade models (91B60)

Cited In (8)

• Method-of-moments estimators of stable distribution parameters
• Monte Carlo inference in econometric models with symmetric stable disturbances
• The weak approximation of the empirical characteristic function process when parameters are estimated
• Minimum-Distance Estimator for Stable Exponent
• WITHDRAWAL SUCCESS ESTIMATION
• Comparison of estimators in stable models.
• An estimation procedure for the Linnik distribution
• Efficient posterior integration in stable paretian models

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