Estimation of stable distributions by indirect inference

René Garcia, Eric Renault and David Veredas

Journal of Econometrics, 2011, vol. 161, issue 2, 325-337

Abstract: This article deals with the estimation of the parameters of an [alpha]-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the [alpha]-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show that this method delivers estimators with good properties in finite sample. We provide an empirical application to the distribution of jumps in the S&P 500 index returns.

Keywords: Stable; distribution; Indirect; inference; Constrained; indirect; inference; Skewed-t; distribution (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Estimation of stable distributions by indirect inference (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:161:y:2011:i:2:p:325-337

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