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swMATH27803MaRDI QIDQ39517FDOQ39517

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Cited In (16)

• An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
• Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
• Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
• Applications of the characteristic function-based continuum GMM in finance
• Testing for persistence in stock returns with GARCH-stable shocks
• Testing the stable Paretian assumption
• Bayesian analysis of multivariate stable distributions using one-dimensional projections
• Testing parameter constancy in models with infinite variance errors.
• Estimation of stable spectral measures
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• The Kalman-Lévy filter
• Precise tabulation of the maximally-skewed stable distributions and densities
• Model identification for infinite variance autoregressive processes
• Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions

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