Modeling chinese stock returns with stable distribution

DOI10.1016/j.mcm.2011.03.004zbMath1225.91073MaRDI QIDQ646126

Yucheng Dong, Weidong Xu, Chongfeng Wu, Wei-Lin Xiao

Publication date: 11 November 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.03.004

zbMATH Keywords

characteristic function; Lévy measure; stable distribution; sample quantile method

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G80: Financial applications of other theories

Related Items

Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws, Stock market uncertainty and economic fundamentals: an entropy-based approach, Series representation of jointly \(S \alpha S\) distribution via symmetric covariations, Bivariate sub-Gaussian model for stock index returns, Estimation methods for expected shortfall

Uses Software

• STABLE

Cites Work

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