Search Results - subject:"Stable Distributions"

On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.

Lombardi, Marco J.; Godsill, Simon J. - Dipartimento di Statistica, Informatica, Applicazioni … - 2004

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed alpha-stable noise, with a particular focus on TVAR models. alpha-stable processes have been shown in the past to be a good model for many naturally occurring noise sources. We...

Persistent link: https://www.econbiz.de/10005687784

Bayesian inference for alpha-stable distributions: a random walk MCMC approach.

Lombardi, Marco J. - Dipartimento di Statistica, Informatica, Applicazioni … - 2004

introduce a novel approach for Bayesian inference in the setting of alpha-stable distributions that resorts to a FFT of the …

Persistent link: https://www.econbiz.de/10005731540

Indirect estimation of alpha-stable distributions and processes.

Lombardi, Marco J.; Calzolari, Giorgio - Dipartimento di Statistica, Informatica, Applicazioni … - 2004

diffusion among practitioners. Since simulated values from alpha-stable distributions can be straightforwardly obtained, the …

Persistent link: https://www.econbiz.de/10005549316

The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion

McCulloch, J. Huston - Society for Computational Economics - SCE - 2004

The fact that expected payoffs on assets and call options are infinite under most log-stable distributions led both …

Persistent link: https://www.econbiz.de/10005345263

The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty

McCulloch, J. Huston - Econometric Society - 2004

The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul …

Persistent link: https://www.econbiz.de/10005328962

Asymptotic null distributions of stationarity and nonstationarity

Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003

The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...

Persistent link: https://www.econbiz.de/10011264970

Intrinsic Bubbles and Fat Tails in Stock Prices

Bidarkota, Prasad - Department of Economics, Florida International University - 2003

dividend stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact …

Persistent link: https://www.econbiz.de/10005769739

On Business Cycle Asymmetries in G7 Countries

Bidarkota, Prasad; Kiani, Khurshid M. - Department of Economics, Florida International University - 2003

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...

Persistent link: https://www.econbiz.de/10005636520

Asymptotic null distributions of stationarity and nonstationarity

Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003

Persistent link: https://www.econbiz.de/10005641886

Bayesian Inference for Mixtures of Stable Distributions

Casarin, Roberto - Université Paris-Dauphine (Paris IX) - 2003

of stable distributions allows for modelling skewness and heavy tails but gives rise to inferential problems related to … the estimation of the stable distributions' parameters. Some recent works have proposed characteristic function based …

Persistent link: https://www.econbiz.de/10010708324