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

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...

The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. The authors characterize this lower bound for any...