• Login
    View Item 
    •   Vlerick Repository Home
    • Research Output
    • Articles
    • View Item
    •   Vlerick Repository Home
    • Research Output
    • Articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of Vlerick RepositoryCommunities & CollectionsPublication DateAuthorsTitlesSubjectsKnowledge Domain/IndustryThis CollectionPublication DateAuthorsTitlesSubjectsKnowledge Domain/Industry

    My Account

    LoginRegister

    Contact & Info

    ContactVlerick Journal ListOpen AccessVlerick Business School

    Statistics

    Display statistics

    Quantile-based inference for tempered stable distributions

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Publication type
    Journal article with impact factor
    Author
    Fabozzi, Frank
    Fallahgoul, Hassan
    Veredas, David
    Publication Year
    2019
    Journal
    Computational Economics
    Publication Volume
    53
    Publication Issue
    1
    Publication Begin page
    51
    Publication End page
    83
    
    Metadata
    Show full item record
    Abstract
    If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability distributions. Estimation is based on the Method of Simulated Quantiles (Dominicy and Veredas (2013)). MSQ consists of matching empirical and theoretical functions of quantiles that are informative about the parameters of interest. In the Monte Carlo study we show that MSQ is significantly faster than Maximum Likelihood and the estimates are almost as precise as MLE. A Value at Risk study using 13 years of daily returns from 21 world-wide market indexes shows that MSQ estimates provide as good risk assessments as with MLE.
    Keyword
    Heavy Tailed Distribution, Tempered Stable Distribution, Method of Simulated Quantiles
    Knowledge Domain/Industry
    Accounting & Finance
    DOI
    10.2139/ssrn.2620621
    URI
    http://hdl.handle.net/20.500.12127/5829
    ae974a485f413a2113503eed53cd6c53
    10.2139/ssrn.2620621
    Scopus Count
    Collections
    Articles

    entitlement

     
    DSpace software (copyright © 2002 - 2022)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.