Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating models where the likelihood function does not have a simple analytical expression. They adjust for the bias (inconsistency) produced by the estimation of an auxiliary model...

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

Financial returns exhibit conditional heteroscedasticity, asymmetric responses of their volatility to negative and positive returns (leverage effects) and fat tails. The α-stable distribution is a natural candidate for capturing the tail-thickness of the conditional distribution of financial...

The alpha-stable family of distributions constitutes a generalization of the Gaussian distribution, allowing for asymmetry and thicker tails. Its practical usefulness is coupled with a marked theoretical appeal, as it stems from a generalized version of the central limit theorem in which the...