Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
Rafał Weron ()
Econometrics from University Library of Munich, Germany
Power-law tail behavior and the summation scheme of Levy-stable (alpha- 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)
New Economics Papers: this item is included in nep-ets
Note: Type of Document - PDF; prepared on PC-TEX; pages: 14 ; figures: 10 included. Appeared in: International Journal of Modern Physics C, Vol. 12, No. 2 (2001) 209-223.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Journal Article: LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME (2001)
Working Paper: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0305003
Access Statistics for this paper
More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().