Estimation of stable distributions with indirect inference

René Garcia, Eric Renault and David Veredas

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: This article deals with the estimation of the parameters of an α-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 α-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. © 2010 Elsevier B.V. All rights reserved.

Keywords: Constrained indirect inference; Indirect inference; Skewed-t distribution; Stable distribution (search for similar items in EconPapers)
Date: 2011
Note: SCOPUS: ar.j
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Citations: View citations in EconPapers (11)

Published in: Journal of econometrics (2011) v.161 n° 3,p.325-337

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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/136186

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