Exact Tests and Confidence Sets for the Tail Coefficient of A-Stable Distributions
28 Pages Posted: 8 Jun 2016
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: 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
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