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 α-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...