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Search: subject:"Stable Distributions"
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Time series analysis
stable distributions
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11
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fat tails
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tempered stable distributions
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long memory
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option pricing
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Lévy stable distributions
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Eurasian economic review : a journal in applied macroeconomics and finance
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ECONIS (ZBW)
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Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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2
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten
;
Leucht, Anne
;
Meyer, Marco
;
Beering, …
-
2016
-
Version: November 1, 2016
simulation study on minimum distance estimation for a-
stable
distributions
and illustrate the pairwise dependence structure over …
Persistent link: https://www.econbiz.de/10011570173
Saved in:
3
Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet
- In:
Eurasian economic review : a journal in applied …
7
(
2017
)
2
,
pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
Saved in:
4
Asymmetric business cycle fluctuations in Caribbean economies
Kiani, Khurshid M.
- In:
International journal of economic perspectives : IJEP
5
(
2011
)
2
,
pp. 121-140
Persistent link: https://www.econbiz.de/10011587461
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5
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
6
On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M.
- In:
Economic modelling
53
(
2016
),
pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
Saved in:
7
The asymptotic codifference and covariation of log-fractional stable noise
Levy, Joshua B.
;
Taqqu, Murad S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 34-43
Persistent link: https://www.econbiz.de/10010473427
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