Modeling financial data with stable distributions

[1]  Raisa E. Feldman,et al.  Limit Distributions for Sums of Independent Random Vectors , 2002 .

[2]  J. Corcoran Modelling Extremal Events for Insurance and Finance , 2002 .

[3]  J. McCulloch,et al.  Estimation of stable spectral measures , 2001 .

[4]  J. L. Nolan Stable Distributions. Models for Heavy Tailed Data , 2001 .

[5]  J. Nolan,et al.  Maximum likelihood estimation and diagnostics for stable distributions , 2001 .

[6]  S. Rachev,et al.  Stable Paretian Models in Finance , 2000 .

[7]  Mark A. McComb A Practical Guide to Heavy Tails , 2000, Technometrics.

[8]  V. Zolotarev,et al.  Chance and Stability, Stable Distributions and Their Applications , 1999 .

[9]  John P. Nolan,et al.  Tail Behavior, Modes and other Characteristics of Stable Distributions , 1999 .

[10]  J. Nolan,et al.  Fitting Data and Assessing Goodness � of � t with Stable Distributions , 1999 .

[11]  J. Nolan,et al.  Multivariate Stable Densities as Functions of One Dimensional Projections , 1998 .

[12]  J. Huston McCulloch,et al.  Linear regression with stable disturbances , 1998 .

[13]  J. Huston McCulloch,et al.  Measuring Tail Thickness to Estimate the Stable Index α: A Critique , 1997 .

[14]  Anna K. Panorska,et al.  Data analysis for heavy tailed multivariate samples , 1997 .

[15]  J. L. Nolan,et al.  Numerical calculation of stable densities and distribution functions: Heavy tails and highly volatil , 1997 .

[16]  J. Huston McCulloch,et al.  13 Financial applications of stable distributions , 1996 .

[17]  D. Applebaum Stable non-Gaussian random processes , 1995, The Mathematical Gazette.

[18]  Chrysostomos L. Nikias,et al.  On blind channel identification for impulsive signal environments , 1995, 1995 International Conference on Acoustics, Speech, and Signal Processing.

[19]  Svetlozar T. Rachev,et al.  MULTIVARIATE STABLE FUTURES PRICES , 1995 .

[20]  P. Lee,et al.  14. Simulation and Chaotic Behaviour of α‐Stable Stochastic Processes , 1995 .

[21]  John P. Nolan,et al.  Calculation of multidimensional stable densities , 1995 .

[22]  C. L. Nikias,et al.  Signal processing with alpha-stable distributions and applications , 1995 .

[23]  A. Weron,et al.  Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes , 1993 .

[24]  J. Mason,et al.  Operator-limit distributions in probability theory , 1993 .

[25]  J. McCulloch,et al.  Simple consistent estimators of stable distribution parameters , 1986 .

[26]  V. Zolotarev One-dimensional stable distributions , 1986 .

[27]  W. DuMouchel Estimating the Stable Index $\alpha$ in Order to Measure Tail Thickness: A Critique , 1983 .

[28]  J. R. Michael The stabilized probability plot , 1983 .

[29]  William L. Donn,et al.  Ducted propagation of Concorde‐generated shock waves , 1982 .

[30]  I. A. Koutrouvelis An iterative procedure for the estimation of the parameters of stable laws , 1981 .

[31]  Ioannis A. Koutrouvelis,et al.  Regression-Type Estimation of the Parameters of Stable Laws , 1980 .

[32]  C. Mallows,et al.  A Method for Simulating Stable Random Variables , 1976 .

[33]  W. DuMouchel Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples , 1975 .

[34]  A. Paulson,et al.  The estimation of the parameters of the stable laws , 1975 .

[35]  W. DuMouchel On the Asymptotic Normality of the Maximum-Likelihood Estimate when Sampling from a Stable Distribution , 1973 .

[36]  W. DuMouchel Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to other Symmetric Long-Tailed Distributions , 1973 .

[37]  O. Bunke Feller, F.: An Introduction to Probability Theory and its Applications, Vol. II, John Wiley & Sons, Inc., New York‐London‐Sydney, 1966. XVIII + 626 S., 3 Abb., 2 Tab., Preis $ 12,00 , 1969 .

[38]  I. Kovalenko An introduction to probability theory and its applications. Vol. II , 1968 .

[39]  F. Eugene FAMA, . The Behavior of Stock-Market Prices, Journal of Business, , . , 1965 .

[40]  E. Fama The Behavior of Stock-Market Prices , 1965 .

[41]  B. Mandlebrot The Variation of Certain Speculative Prices , 1963 .

[42]  Feller William,et al.  An Introduction To Probability Theory And Its Applications , 1950 .

[43]  P. Levy Théorie des erreurs. La loi de Gauss et les lois exceptionnelles , 1924 .