Univariate stable laws in the field of finance -- parameter estimation

zbMATH Open1110.62148MaRDI QIDQ5477682FDOQ5477682

Authors: Stoyan V. Stoyanov, Borjana Racheva-Iotova 

Publication date: 6 July 2006

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zbMATH Keywords

stable distributionsasset returns

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cited In (13)

• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
• Simple consistent estimators of stable distribution parameters
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• Title not available (Why is that?)
• Maximum likelihood estimation of stable Paretian models.
• Parametric estimation of tempered stable laws
• On the probability distribution of stock indices
• Alpha-stable paradigm in financial markets
• The method of simulated quantiles
• Title not available (Why is that?)
• Stable ETL Optimal Portfolios and Extreme Risk Management
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• Geometric stable laws: Estimation and applications

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