LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME

Rafał Weron

International Journal of Modern Physics C (IJMPC), 2001, vol. 12, issue 02, 209-223

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; Tail Exponent; Hill Estimator; Econophysics (search for similar items in EconPapers)
Date: 2001
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Working Paper: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2003)
Working Paper: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2001)
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DOI: 10.1142/S0129183101001614

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