IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v81y2011i11p1648-1653.html
   My bibliography  Save this article

On infinitely divisible distributions with light tails of Lévy measures

Author

Listed:
  • Braverman, Michael

Abstract

We show that if the tail of a Lévy measure is light, then the same holds for the tail of the corresponding infinitely divisible distribution.

Suggested Citation

  • Braverman, Michael, 2011. "On infinitely divisible distributions with light tails of Lévy measures," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1648-1653, November.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1648-1653
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211002148
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
    2. Braverman, Michael, 2010. "On suprema of Lévy processes with light tails," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 541-573, April.
    3. Braverman, Michael, 2000. "Suprema of compound Poisson processes with light tails," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 145-156, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
    2. SAITO Yukiko, 2013. "Role of Hub Firms in Geographical Transaction Network," Discussion papers 13080, Research Institute of Economy, Trade and Industry (RIETI).
    3. Ross Richardson & Matteo G. Richiardi & Michael Wolfson, 2015. "We ran one billion agents. Scaling in simulation models," LABORatorio R. Revelli Working Papers Series 142, LABORatorio R. Revelli, Centre for Employment Studies.
    4. Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
    5. Harmenberg, Karl, 2024. "A simple theory of Pareto-distributed earnings," Economics Letters, Elsevier, vol. 234(C).
    6. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    7. Kwame Boamah‐Addo & Tomasz J. Kozubowski & Anna K. Panorska, 2023. "A discrete truncated Zipf distribution," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 156-187, May.
    8. A. B. Atkinson, 2017. "Pareto and the Upper Tail of the Income Distribution in the UK: 1799 to the Present," Economica, London School of Economics and Political Science, vol. 84(334), pages 129-156, April.
    9. di Giovanni, Julian & Levchenko, Andrei A. & Rancière, Romain, 2011. "Power laws in firm size and openness to trade: Measurement and implications," Journal of International Economics, Elsevier, vol. 85(1), pages 42-52, September.
    10. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
    11. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    12. Taiji Furusawa & Hideo Konishi & Duong Lam Anh Tran, 2020. "International Trade and Income Inequality," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(3), pages 993-1026, July.
    13. Thomas Brenner & Matthias Duschl, 2018. "Modeling Firm and Market Dynamics: A Flexible Model Reproducing Existing Stylized Facts on Firm Growth," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 745-772, October.
    14. Anthony B. Atkinson & Thomas Piketty & Emmanuel Saez, 2011. "Top Incomes in the Long Run of History," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 3-71, March.
    15. Gaubert, Cecile & Itskhoki, Oleg & Vogler, Maximilian, 2021. "Government policies in a granular global economy," Journal of Monetary Economics, Elsevier, vol. 121(C), pages 95-112.
    16. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers 2012-20, Kiel Institute for the World Economy (IfW Kiel).
    17. John Rutledge, 2015. "Economics as energy framework: Complexity, turbulence, financial crises, and protectionism," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 10-18, April.
    18. Sigurd Galaasen & Rustam Jamilov & Hélène Rey & Ragnar Juelsrud, 2020. "Granular credit risk," Working Paper 2020/15, Norges Bank.
    19. Harry Bowen & Haris Munandar & Jean-Marie Viaene, 2010. "How integrated is the world economy?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 389-414, September.
    20. Joseph S. Shapiro & Reed Walker, 2018. "Why Is Pollution from US Manufacturing Declining? The Roles of Environmental Regulation, Productivity, and Trade," American Economic Review, American Economic Association, vol. 108(12), pages 3814-3854, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1648-1653. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.