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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

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

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

Heavy tails and stable paretian distributions in finance and macroeconomics : [... Deutsche Bundesbank Fall Conference... This conference was held in celebration of the 80th birthday of Professor Benoît B. Mandelbrot ...]

Dufour, Jean-Marie (contributor); … - 2014

Persistent link: https://www.econbiz.de/10010474569

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

Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions

Dufour, Jean-Marie - 2016

Persistent link: https://www.econbiz.de/10012991228

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

Money and inflation in Germany : a cointegration analysis

Hansen, Gerd - 1995

Persistent link: https://www.econbiz.de/10000903731

Nonlinear cointegration analysis of German unemployment

Hansen, Gerd - 1996

Persistent link: https://www.econbiz.de/10000937601

The reliability of the Johansen-procedure : some Monte-Carlo-results

Hansen, Gerd - 1996

Persistent link: https://www.econbiz.de/10000937607