The Class of Stable Distributions

Michele Leonardo Bianchi, Stoyan V Stoyanov, Gian Luca Tassinari, Frank Fabozzi () and Sergio M Focardi

Chapter 5 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management, 2019, pp 149-224 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The main topics covered in this chapter are:the history of stable distributions and why they represent an important building block for econometric models in finance;the main properties of the class of stable distributions;numerical techniques for approximating the densities and the distribution functions of stable laws;an algorithm for drawing efficiently random numbers from a stable distribution;several methods for estimation of the parameters of stable laws;a method for computing average value-at-risk when losses follow a stable distribution.

Keywords: Heavy Tail Distributions; Fat Tail Distributions; Lévy Processes; Tempered Stable Distributions; Multivariate Time-changed Brownian Motion; Extreme Value Theory; Risk Management (search for similar items in EconPapers)
JEL-codes: C02 G32 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813276208_0005 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813276208_0005 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813276208_0005

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().