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Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime

Rafał Weron ()

Econometrics from University Library of Munich, Germany

Abstract: 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
Date: 2003-05-16
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.
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Related works:
Journal Article: LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME (2001) Downloads
Working Paper: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2001) Downloads
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