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...

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...

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...