STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
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- Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.
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Keywords
Stable distribution; Parameter estimation; Heavy tail; Regression method; Characteristic function; MATLAB;All these keywords.
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