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Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime

Rafał Weron

No HSC/01/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset returns exhibit tail exponents well above the Levy-stable regime (0

Keywords: Levy-stable distribution; Alpha-stable distribution; Tail exponent; Hill estimator (search for similar items in EconPapers)
JEL-codes: C13 C50 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Published in International Journal of Modern Physics C 12(2) (2001) 209-223

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Related works:
Working Paper: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2003) Downloads
Journal Article: LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME (2001) Downloads
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