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~subject:"Composite likelihood"
~subject:"alpha stable distribution"
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Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices
Frain, John C.
-
Department of Economics, Trinity College Dublin
-
2008
tails and a possible
alpha-stable
distribution
, the results can be checked for robustness using methods such as those …
Persistent link: https://www.econbiz.de/10005345869
Saved in:
2
Value at Risk (VaR) and the
alpha-stable
distribution
Frain, John C.
-
Department of Economics, Trinity College Dublin
-
2008
the Value at Risk measure of risk can be improved by the use of an
alpha-stable
distribution
in place of more conventional …
Persistent link: https://www.econbiz.de/10005729332
Saved in:
3
Estimating the marginal law of a time series with applications to heavy-tailed distributions
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 412-425
Persistent link: https://www.econbiz.de/10010337860
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