Garcia, ReneRenault, EricVeredas, David2017-12-022017-12-02201110.1016/j.jeconom.2010.12.007http://hdl.handle.net/20.500.12127/5229This article deals with the estimation of the parameters of an a-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 a-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.enAccounting & FinanceJournal of Econometrics1923861923871818746478