Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
By Rafal Weron. 2001
158 citations recorded by the source corpus.
Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset returns exhibit tail exponents well above the Levy-stable regime (0
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ae1b9fa6f0320952b7e80b1bc60df7ea085187e7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rafal Weron
- Rustam Ibragimov
- Adam Misiorek
- Szymon Borak
- Florian Ziel
- Jakub Nowotarski
- Bartosz Uniejewski
- Ladislav Kristoufek
In Finance
- Rustam Ibragimov
- Adam Misiorek
- Szymon Borak
- Rafal Weron
- Ladislav Kristoufek
- Andrew J. Patton
- Stefan Trück
- Miloslav S. Vosvrda
Citations in the corpus
- Portfolio diversification and value at risk under thick-tailedness (2009, background): “…regression estimators and Hill’s estimator, are strongly biased in small samples and are very sensitive to deviations from power laws (1) in the form of regularly varying tails (see, among others, the discussion in Embrechts et al. 1997, Weron 2001, Borak et al. 2005 and Gabaix and Ibragimov 2006).”
- Models for Heavy-tailed Asset Returns (2010, background): “Other proposed approaches involve using tail exponent estimators for testing if α is in the admissible range (Fan, 2006; Mittnik and Paolella, 1999) or simply ‘visual inspection’ to see whether the empirical densities resemble those of stable laws (Nolan, 2001; Weron, 2001).”