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Exact tests and confidence sets for the tail coefficient of a-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...
Persistent link: https://www.econbiz.de/10010295764
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Exact tests and confidence sets for the tail coefficient of α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of α-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...
Persistent link: https://www.econbiz.de/10011432250
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Editors' introduction: Heavy tails and stable Paretian distributions in econometrics
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - In: Journal of econometrics 181 (2014) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10010473459
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Special issue: Heavy tails and paretian distributions in empirical finance : a volume honoring Benoît Mandelbrot
Dufour, Jean-Marie (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10009271849
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Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - In: Journal of empirical finance 17 (2010) 2, pp. 180-194
Persistent link: https://www.econbiz.de/10009271855
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Exact tests and confidence sets for the tail coefficient of α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...
Persistent link: https://www.econbiz.de/10001818512
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Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions
Dufour, Jean-Marie - 2016
Persistent link: https://www.econbiz.de/10012991228
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Exact tests and confidence sets for the tail coefficient of a-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2003
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...
Persistent link: https://www.econbiz.de/10005083313
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Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - In: Journal of empirical finance 17 (2010) 2, pp. 180-195
Persistent link: https://www.econbiz.de/10008387162