Linear regression with stable disturbances
A practical guide to heavy tails
Numerical approximation of the symmetric stable distribution and density
A practical guide to heavy tails
Univariate stable distributions: parameterizations and software
A practical guide to heavy tails
A simple estimator for the characteristic exponent of the stable Paretian distribution
Mathematical and Computer Modelling: An International Journal
Maximum likelihood estimation of stable Paretian models
Mathematical and Computer Modelling: An International Journal
Accurate value-at-risk forecasting based on the normal-GARCH model
Computational Statistics & Data Analysis
Testing for independence in heavy-tailed time series using the codifference function
Computational Statistics & Data Analysis
| Hi-index | 0.98 |
We propose a computationally simple method for testing whether an iid series obeys the summability property characteristics of stable Paretian realizations and discuss some flaws associated with earlier attempts at assessing the appropriateness of the stable Paretian assumption. With sample sizes common to empirical finance applications, the new test exhibits reasonably high power against both Student's t and mixed normal alternatives. An example illustrates the plausibility of stable Paretian innovations in a GARCH model for the S&P 500 index.