Publication

Estimation of stable distributions by indirect inference

Garcia, René
; 
Renault, Eric
; 
Veredas, David
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Publication Type
Journal article
Editor
Supervisor
Publication Year
2011-04
Journal
Journal of Econometrics
Book
Publication Volume
161
Publication Issue
2
Publication Begin page
325
Publication End page
337
Publication Number of pages
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Abstract
This article deals with the estimation of the parameters of an α-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the α-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show that this method delivers estimators with good properties in finite sample. We provide an empirical application to the distribution of jumps in the S&P 500 index returns.
Research Projects
Organizational Units
Journal Issue
Keywords
3801 Applied Economics, 3802 Econometrics, 38 Economics, 4905 Statistics, 49 Mathematical Sciences
Citation
Knowledge Domain/Industry
Accounting & Finance
DOI
https://doi.org/10.1016/j.jeconom.2010.12.007
URI
http://hdl.handle.net/20.500.12127/5229
Other links
https://doi.org/10.1016/j.jeconom.2010.12.007
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