Similar Search Results

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337

Persistent link: https://www.econbiz.de/10009242117

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32

Persistent link: https://www.econbiz.de/10009242563

Aggregation of preferences for skewed asset returns

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489

Persistent link: https://www.econbiz.de/10010481322

Indirect estimation of elliptical stable distributions

Lombardi, Marco; Veredas, David - 2008

Persistent link: https://www.econbiz.de/10003963308

Multivariate hill estimators

Dominicy, Yves; Ilmonen, Pauliina; Veredas, David - 2014

Persistent link: https://www.econbiz.de/10011289450

Indirect estimation of elliptical stable distributions

Lombardi, Marco (contributor); Veredas, David (contributor) - 2007

Persistent link: https://www.econbiz.de/10003432053

Short selling in the tails

Geraci, Marco Valerio; Garbaravicius, Tomas; Veredas, David - 2016

Persistent link: https://www.econbiz.de/10011672440

Quantile-Based Inference for Tempered Stable Distributions

Fallahgoul, Hasan - 2016

If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability...

Persistent link: https://www.econbiz.de/10013004529

Quantile-based inference for tempered stable distributions

Fallahgoul, Hasan A.; Veredas, David; Fabozzi, Frank J. - In: Computational economics 53 (2019) 1, pp. 51-83

Persistent link: https://www.econbiz.de/10012134536

Short selling in extreme events

Geraci, Marco Valerio; Garbaravičius, Tomas; Veredas, David - In: Journal of financial stability 39 (2018), pp. 90-103

Persistent link: https://www.econbiz.de/10012159719