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

@inproceedings{Weron2001LevystableDR,
  title={Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime},
  author={Rafa l Weron},
  year={2001}
}
Power-law tail behavior and the summation scheme of Levy-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 < α ≤ 2). In this paper we illustrate that widely used tail index estimates (log-log linear regression and Hill) can give exponents well above the asymptotic limit for α close to 2, resulting in… CONTINUE READING

From This Paper

Topics from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 42 CITATIONS

References

Publications referenced by this paper.
SHOWING 1-10 OF 29 REFERENCES

Ann

  • M. Kanter
  • Probab. 3
  • 1975
Highly Influential
7 Excerpts

Phys

  • V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H. E. Stanley
  • Rev. E 60
  • 1999
Highly Influential
4 Excerpts

Statist

  • I. A. Koutrouvelis, J. Amer
  • Assoc. 75
  • 1980
Highly Influential
6 Excerpts

Market Fluctuations I: Multi-Scaling and Their Possible Origins

  • T. Lux, M. Ausloos
  • A. Bunde, H.-J. Schellnhuber eds., Theories of…
  • 2001
1 Excerpt

B

  • V. Plerou, P. Gopikrishnan
  • Rosenow, L.A.N. Amaral, H.E. Stanley, Physica A…
  • 2000
2 Excerpts

Stable Paretian Models in Finance

  • S. Rachev, S. Mittnik
  • Wiley
  • 2000
2 Excerpts

Phys

  • P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H. E. Stanley
  • Rev. E 60
  • 1999

Euro

  • P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H. E. Stanley
  • Phys. J. B 3
  • 1998
3 Excerpts

Stochast

  • H. Drees, E. Kaufman
  • Process. Appl. 75
  • 1998
2 Excerpts

Ann

  • S. Resnick
  • Statist. 25
  • 1997

Similar Papers

Loading similar papers…