Computing the probability density function of the stable Paretian distribution

DOI10.1016/S0895-7177(99)00106-5zbMATH Open1003.60020MaRDI QIDQ699429FDOQ699429

D. Chenyao, Stefan Mittnik, Toker Doganoglu

Publication date: 6 October 2002

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

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zbMATH Keywords

fast Fourier transformfinancial modelingdensity approximationheavy-tailed datastable Paretian model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Cites Work

• Title not available (Why is that?)
• Portfolio Analysis in a Stable Paretian Market
• An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Tables and graphs of the stable probability density functions
• On distribution functions with a limiting stable distribution function
• Title not available (Why is that?)

Cited In (23)

• Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
• Estimation and Simulation of the Riesz-Bessel Distribution
• Generalized CMR technology as a natural source of objective marketing information
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
• Marginal consistent dependence modelling using weak subordination for Brownian motions
• Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
• Estimating stable latent factor models by indirect inference
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Likelihood computation in the normal-gamma stochastic frontier model
• Deriving a probability density calculator (functional pearl)
• Asset pricing with incomplete information and fat tails
• Extreme event dynamics in the formation of galaxy-sized dark matter structures
• Portfolio optimization when risk factors are conditionally varying and heavy tailed
• Maximum likelihood estimation of stable Paretian models.
• Average sample number function for Pareto heavy tailed distributions
• Title not available (Why is that?)
• The optimal discretization of probability density functions
• Bayesian inversion with α-stable priors
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables
• The method of simulated quantiles
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Maximum likelihood estimation of stochastic frontier models by the Fourier transform

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