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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 Stable Distributions by Indirect Inference

Garcia, René - 2009

This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with...

Persistent link: https://www.econbiz.de/10012721744

Editorial: Latest developments on heavy-tailed distributions

Paolella, Marc S.; Renault, Eric; Samorodnitsky, Gennady; … - In: Journal of econometrics 172 (2013) 2, pp. 183-185

Persistent link: https://www.econbiz.de/10009706211

Issue of the annals of econometrics on indirect estimation methods in finance and economics

Halbleib, Roxana; Kristensen, Dennis; Renault, Eric; … - In: Journal of econometrics 205 (2018) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10012110222

Indirect estimation methods in finance and economics

Halbleib, Roxana (ed.); Kristensen, Dennis (ed.); … - 2018

Persistent link: https://www.econbiz.de/10012110228

Latent variable models for stochastic discount factors

Garcia, René; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001504786

Econometric methods for derivative securities and risk management

Garcia, René (contributor); Ghysels, Eric (contributor); … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7

Persistent link: https://www.econbiz.de/10001437739

Latent variable models for stochastic discount factors

Garcia, René; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001488010

Risk aversion, intertemporal substitution, and option pricing

Garcia, René; Renault, Eric - 1998

Persistent link: https://www.econbiz.de/10000984192

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

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