Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions

28 Pages Posted: 8 Jun 2016

See all articles by Jean-Marie Dufour

Jean-Marie Dufour

University of Montreal - Department of Economics

Jeong-Ryeol Kurz-Kim

Deutsche Bundesbank

Date Written: 2003

Abstract

In this paper, using the Monte Carlo (MC) method we propose an estimation

In der vorliegenden Arbeit wird ein auf der Monte-Carlo-Methode basierendes

Suggested Citation

Dufour, Jean-Marie and Kurz-Kim, Jeong-Ryeol, Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions (2003). Bundesbank Series 1 Discussion Paper No. 2003,16, Available at SSRN: https://ssrn.com/abstract=2785202 or http://dx.doi.org/10.2139/ssrn.2785202

Jean-Marie Dufour (Contact Author)

University of Montreal - Department of Economics ( email )

C.P. 6128, succursale Centre-Ville
Montreal, Quebec H3C 3J7
Canada
514-343-6557 (Phone)
514-343-5831 (Fax)

Jeong-Ryeol Kurz-Kim

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

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