• Title of article

    A simple estimator for the characteristic exponent of the stable Paretian distribution

  • Author/Authors

    Mittnik، نويسنده , , S. and Paolella، نويسنده , , M.S.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1999
  • Pages
    16
  • From page
    161
  • To page
    176
  • Abstract
    A new estimator for the index α of symmetric stable Paretian distributions is proposed. In addition to being numerically simple, fast, and reliable, simulations suggest that even in small samples, the estimator is unbiased for α ∈ [1, 2], and almost exactly normally distributed. Standard errors are also given, the magnitudes of which are shown to depend only on sample size and not on the true value of α.
  • Keywords
    stable distributions , Hill estimator , Financial modeling , Tail estimation
  • Journal title
    Mathematical and Computer Modelling
  • Serial Year
    1999
  • Journal title
    Mathematical and Computer Modelling
  • Record number

    1591421