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Testing the stable Paretian assumption · Study

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ArticleTesting the stable Paretian assumption

Marc S. Paolella2001

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Articlebronze2001

Testing the stable Paretian assumption

Marc S. Paolella

32 citations·0/0 files stored·Mathematical and Computer Modelling

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1996A test for independence based on the correlation dimension 1993A long memory property of stock market returns and a new model 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 1995Quadratic ARCH Models 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 2000A Practical Guide to Heavy Tails 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks 1996Forecasting stock market volatility using (non-linear) Garch models

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2010Robust estimation of skewness and kurtosis in distributions with infinite higher moments

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Year2001

Typearticle

Published2001-11-01

VenueMathematical and Computer Modelling

ISSN-L0895-7177

Languageen

Citations32

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0895-7177(01)00118-2

openalex_workW2013525650

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