Parameter estimation for stable distributions with application to commodity futures log returns
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References listed on IDEAS
- Benoit Mandelbrot, 1962. "Paretian Distributions and Income Maximization," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 76(1), pages 57-85.
- Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
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World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78,
World Scientific Publishing Co. Pte. Ltd..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
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Cited by:
- M. Kateregga & S. Mataramvura & D. Taylor & Xibin Zhang, 2017. "Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1384125-138, January.
- Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
- Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka, 2021.
"Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling,"
Resources Policy, Elsevier, vol. 74(C).
- {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
- Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Multiple Subordinated Modeling of Asset Returns," Papers 1907.12600, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2017-07-02 (Econometrics)
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