Heavy-Tailed Distributions: Data, Diagnostics, and New Developments
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Benoit Mandelbrot, 2015.
"The Variation of Certain Speculative Prices,"
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.
- Smid, B. & Stam, A. J., 1975. "Convergence in distribution of quotients of order statistics," Stochastic Processes and their Applications, Elsevier, vol. 3(3), pages 287-292, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alexander Vinel & Pavlo A. Krokhmal, 2017. "Certainty equivalent measures of risk," Annals of Operations Research, Springer, vol. 249(1), pages 75-95, February.
- Bolandifar, Ehsan & DeHoratius, Nicole & Olsen, Tava, 2023. "Modeling abandonment behavior among patients," European Journal of Operational Research, Elsevier, vol. 306(1), pages 243-254.
- Marc N. Conte & David L. Kelly, 2016. "An Imperfect Storm: Fat-Tailed Hurricane Damages, Insurance and Climate Policy," Working Papers 2016-01, University of Miami, Department of Economics.
- Conte, Marc N. & Kelly, David L., 2018. "An imperfect storm: Fat-tailed tropical cyclone damages, insurance, and climate policy," Journal of Environmental Economics and Management, Elsevier, vol. 92(C), pages 677-706.
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.- Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.
- Dominique Guégan & Wayne Tarrant, 2012.
"On the necessity of five risk measures,"
Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne 10005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721339, HAL.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460901, HAL.
- Alagidede, Paul & Panagiotidis, Theodore, 2009.
"Modelling stock returns in Africa's emerging equity markets,"
International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
- Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
- Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
- Ben Klemens, 2013. "A Peer-based Model of Fat-tailed Outcomes," Papers 1304.0718, arXiv.org.
- Lombardi, Marco J. & Calzolari, Giorgio, 2009.
"Indirect estimation of [alpha]-stable stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
- Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Geluk, J.L. & De Vries, C.G., 2006.
"Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities,"
Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
- J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
- Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Erie Febrian & Aldrin Herwany, 2009.
"Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets,"
Working Papers in Economics and Development Studies (WoPEDS)
200911, Department of Economics, Padjadjaran University, revised Sep 2009.
- Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
- Vianna Franco, Marco P. & Ribeiro, Leonardo Costa & Albuquerque, Eduardo da Motta e, 2022.
"Beyond Random Causes: Harmonic Analysis Of Business Cycles At The Moscow Conjuncture Institute,"
Journal of the History of Economic Thought, Cambridge University Press, vol. 44(3), pages 456-476, September.
- Franco, Marco Paulo Vianna & Ribeiro, Leonardo Costa & da Motta e Albuquerque, Eduardo, 2021. "Beyond Random Causes: Harmonic Analyis of Business Cycles at the Moscow Conjuncture Institute," OSF Preprints 6aesk, Center for Open Science.
- de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
- P. Kearns & A.R. Pagan, 1993.
"Australian Stock Market Volatility: 1875–1987,"
The Economic Record, The Economic Society of Australia, vol. 69(2), pages 163-178, June.
- Pagan, A.R. & Kearns, P., 1990. "Ustralian Stock Market Volatility: 1875-1987," RCER Working Papers 248, University of Rochester - Center for Economic Research (RCER).
- 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.
- Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005.
"Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"
Working Papers
0501, University of Crete, Department of Economics.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
- Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
- Ibrahim Ergen, 2014. "Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 46(19), pages 2215-2227, July.
- Fajardo, José & Farias, Aquiles, 2004.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-01-03 (Econometrics)
Statistics
Access and download statisticsCorrections
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:rff:dpaper:dp-11-19. 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: Resources for the Future (email available below). General contact details of provider: https://edirc.repec.org/data/rffffus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.