Modeling asset returns with alternative stable distributions*

DOI10.1080/07474939308800266zbMATH Open0801.62096OpenAlexW2038016952WikidataQ59410566 ScholiaQ59410566MaRDI QIDQ4286238FDOQ4286238

Authors: Stefan Mittnik, Svetlozar T. Rachev 

Publication date: 30 November 1994

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939308800266

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zbMATH Keywords

identificationestimationWeibull distributionstable distributionsfinancial modellingstable Paretian distributionunivariate analysisdouble Weibull distributionasset-return modelsdistributional form of returns on financial assetsgeometric-stable distributionsgeometric-summation schemenonrandom stable

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited In (only showing first 100 items - show all)

• Simple tests for peakedness, fat tails and leptokurtosis based on quantiles
• A simple estimator for the characteristic exponent of the stable Paretian distribution
• Asymmetric Laplace laws and modeling financial data
• Boundary regularity for fully nonlinear integro-differential equations
• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
• A testable version of the Pareto-Stable CAPM
• Stock returns and hyperbolic distributions
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Stable modeling of value at risk
• The distribution of test statistics for outlier detection in heavy-tailed samples
• Generalization of symmetric \(\alpha\)-stable Lévy distributions for \(q > 1\)
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Diagnostic checking in linear processes with infinite variance
• Laplace-Weibull Mixtures for Modeling Price Changes
• Title not available (Why is that?)
• An asymmetric multivariate weibull distribution
• Comparative efficiency of altruism and egoism as voting strategies in stochastic environment
• Weak limits for multivariate random sums
• On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Stable GARCH models for financial time series
• Estimation problems for distributions with heavy tails
• Option pricing for stable and infinitely divisible asset returns
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• Discrete time parametric models with long memory and infinite variance
• Wavelet-based estimation for univariate stable laws
• Tail estimation of the stable index \(\alpha\)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
• Conditionally exponential dependence model for asset returns
• Monitoring for a change point in a sequence of distributions
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• Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
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• Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
• Estimation of stable spectral measures
• Parameter Estimation of Stable Distributions
• Distributional properties of portfolio weights
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• Generalized stable models for financial asset returns
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• BAYESIAN ANALYSIS OF FINITE MIXTURES OF WEIBULL DISTRIBUTIONS
• Computer simulation of geometric stable distributions
• Stylized facts of financial time series and hidden semi-Markov models
• On moments and tail behavior of \(\nu\)-stable random variables
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
• Adaptive estimation of cointegrating regressions with ARMA errors
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Efficient posterior integration in stable paretian models
• Operator geometric stable laws
• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Geometric stable laws: Estimation and applications
• Multivariate geometric stable distributions in financial applications.
• Local prelimit theorems and their applications to finance
• The modified Weibull distribution for asset returns
• Binomial option pricing with nonidentically distributed returns and its implications
• CED model for asset returns and fractal market hypothesis
• Modeling financial asset returns with shot noise processes
• Models of asset returns: changes of pattern from high to low event frequency
• Classification rules for stable distributions
• Safety-first analysis and stable Paretian approach to portfolio choice theory
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
• An asset return model capturing stylized facts
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• A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns
• On improved volatility modelling by fitting skewness in ARCH models
• Bayesian International Evidence on Heavy Tails, Non-Stationarity and Asymmetry over the Business Cycle
• Mean-variance efficiency of optimal power and logarithmic utility portfolios
• Randomness and fractional stable distributions
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• Analytic and asymptotic properties of non-symmetric Linnik's probability densities
• Minimum-Distance Estimator for Stable Exponent
• Delta hedging strategies comparison
• A review of more than one hundred Pareto-tail index estimators
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• ON THE SHAPE OF ASSET RETURN DISTRIBUTION
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• Iterated probability distributions and extremes with random sample size
• A novel M-Lognormal–Burr regression model with varying threshold for modeling heavy-tailed claim severity data
• Review of asset return distribution and its application

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