While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modelling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...

We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the...