Similar Search Results

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337

Persistent link: https://www.econbiz.de/10009242117

Editorial: Latest developments on heavy-tailed distributions

Paolella, Marc S.; Renault, Eric; Samorodnitsky, Gennady; … - In: Journal of econometrics 172 (2013) 2, pp. 183-185

Persistent link: https://www.econbiz.de/10009706211

Estimation of stable distributions by indirect inference

Garcia, René (contributor); Renault, Eric (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003402433

Estimation of Stable Distributions by Indirect Inference

Garcia, René - 2009

This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with...

Persistent link: https://www.econbiz.de/10012721744

Issue of the annals of econometrics on indirect estimation methods in finance and economics

Halbleib, Roxana; Kristensen, Dennis; Renault, Eric; … - In: Journal of econometrics 205 (2018) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10012110222

Indirect estimation methods in finance and economics

Halbleib, Roxana (ed.); Kristensen, Dennis (ed.); … - 2018

Persistent link: https://www.econbiz.de/10012110228

Latest developments in heavy-tailed distributions

Veredas, David; Paolella, Marc; Renault, Eric; … - Solvay Brussels School of Economics and Management, … - 2013

Persistent link: https://www.econbiz.de/10011011519

Latest developments on heavy-tailed distributions

Paolella, Marc; Renault, Eric; Samorodnitsky, Gennady; … - In: Journal of econometrics 172 (2013) 2, pp. 183-185

Persistent link: https://www.econbiz.de/10010063346

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-338

Persistent link: https://www.econbiz.de/10008877460

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of Econometrics 161 (2011) 2, pp. 325-337

This article deals with the estimation of the parameters of an [alpha]-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the [alpha]-stable...

Persistent link: https://www.econbiz.de/10008866520