Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical...

Hill estimation (Hill, 1975), the most widespread method for estimating tail thickness of heavy-tailed financial data, suffers from two drawbacks. One is that the optimal number of tail observations to use in the estimation is a function of the unknown tail index being estimated, which...

This paper illustrates the usefulness of resampling-based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

(Logan, Mallows, Rice & Shepp 1973) analyse the limit probability distribution of the statistic <InlineEquation ID="IEq1"> <EquationSource Format="TEX">${S_n}\left( p \right)=\sum\nolimits_{i=1} {{X_i}/{{\left( {{{\sum\nolimits_{i=1} {|{X_j}|} }^p}} \right)}^{1/p}}}$</EquationSource> </InlineEquation> as n → ∞, when X{ini} is in the domain of attraction of a stable law with...</equationsource></inlineequation>

The European Central Bank uses a monetary strategy which represents a combination of monetary targeting and direct inflation targeting. In this context, the stability of the long-run European money demand function is widely seen as a precondition for a strategy of monetary targeting. This paper...