Gajda, Janusz; Grzesiek, Aleksandra; Wyłomańska, Agnieszka Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination. (English) Zbl 1515.62097 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 9, 17 p. (2023). MSC: 62P05 91G20 60G51 PDFBibTeX XMLCite \textit{J. Gajda} et al., Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 9, 17 p. (2023; Zbl 1515.62097) Full Text: DOI
Aguilar, Jean-Philippe; Kirkby, Justin Lars Closed-form option pricing for exponential Lévy models: a residue approach. (English) Zbl 1518.91270 Quant. Finance 23, No. 2, 251-278 (2023). MSC: 91G20 60G51 44A10 PDFBibTeX XMLCite \textit{J.-P. Aguilar} and \textit{J. L. Kirkby}, Quant. Finance 23, No. 2, 251--278 (2023; Zbl 1518.91270) Full Text: DOI
Daw, Lara; Kerchev, George Fractal dimensions of the Rosenblatt process. (English) Zbl 07697552 Stochastic Processes Appl. 161, 544-571 (2023). MSC: 60G17 60G18 PDFBibTeX XMLCite \textit{L. Daw} and \textit{G. Kerchev}, Stochastic Processes Appl. 161, 544--571 (2023; Zbl 07697552) Full Text: DOI arXiv
Torricelli, Lorenzo; Barabesi, Lucio; Cerioli, Andrea Tempered positive Linnik processes and their representations. (English) Zbl 1504.60024 Electron. J. Stat. 16, No. 2, 6313-6347 (2022). MSC: 60E07 60G51 60G18 62P20 PDFBibTeX XMLCite \textit{L. Torricelli} et al., Electron. J. Stat. 16, No. 2, 6313--6347 (2022; Zbl 1504.60024) Full Text: DOI arXiv Link
Sathe, Aastha M.; Upadhye, N. S. Estimation of the parameters of multivariate stable distributions. (English) Zbl 07603849 Commun. Stat., Simulation Comput. 51, No. 10, 5897-5914 (2022). MSC: 62F10 60E07 PDFBibTeX XMLCite \textit{A. M. Sathe} and \textit{N. S. Upadhye}, Commun. Stat., Simulation Comput. 51, No. 10, 5897--5914 (2022; Zbl 07603849) Full Text: DOI arXiv
Mohammadi, Mohammad Principal component analysis for \(\alpha\)-stable vectors. (English) Zbl 07603813 Commun. Stat., Simulation Comput. 51, No. 9, 5245-5263 (2022). MSC: 60E07 62H25 PDFBibTeX XMLCite \textit{M. Mohammadi}, Commun. Stat., Simulation Comput. 51, No. 9, 5245--5263 (2022; Zbl 07603813) Full Text: DOI
Pitera, Marcin; Chechkin, Aleksei; Wyłomańska, Agnieszka Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics. (English) Zbl 1490.62067 Stat. Methods Appl. 31, No. 2, 387-424 (2022); correction ibid. 31, No. 2, 425 (2022). MSC: 62F03 60E07 62P35 PDFBibTeX XMLCite \textit{M. Pitera} et al., Stat. Methods Appl. 31, No. 2, 387--424 (2022; Zbl 1490.62067) Full Text: DOI
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael Tempered stable processes with time-varying exponential tails. (English) Zbl 1490.91214 Quant. Finance 22, No. 3, 541-561 (2022). MSC: 91G20 60G51 62P05 PDFBibTeX XMLCite \textit{Y. S. Kim} et al., Quant. Finance 22, No. 3, 541--561 (2022; Zbl 1490.91214) Full Text: DOI arXiv
Wei, Shengxue; Gan, Xiaoli; Xing, Guodong Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure. (English) Zbl 07532110 Commun. Stat., Theory Methods 50, No. 1, 132-142 (2021). MSC: 60F05 91B30 62-XX PDFBibTeX XMLCite \textit{S. Wei} et al., Commun. Stat., Theory Methods 50, No. 1, 132--142 (2021; Zbl 07532110) Full Text: DOI
Karling, M. J.; Lopes, S. R. C.; de Souza, R. M. A Bayesian approach for estimating the parameters of an \(\alpha\)-stable distribution. (English) Zbl 07493365 J. Stat. Comput. Simulation 91, No. 9, 1713-1748 (2021). MSC: 62C10 60G52 62P05 62P10 62-XX PDFBibTeX XMLCite \textit{M. J. Karling} et al., J. Stat. Comput. Simulation 91, No. 9, 1713--1748 (2021; Zbl 07493365) Full Text: DOI
Gehringer, Johann Rudolf Functional limit theorems for power series with rapid decay of moving averages of Hermite processes. (English) Zbl 1483.60051 Stoch. Dyn. 21, No. 7, Article ID 2150043, 46 p. (2021). MSC: 60F17 60G22 60F05 60G10 PDFBibTeX XMLCite \textit{J. R. Gehringer}, Stoch. Dyn. 21, No. 7, Article ID 2150043, 46 p. (2021; Zbl 1483.60051) Full Text: DOI
Fallahgoul, Hasan; Loeper, Gregoire Modelling tail risk with tempered stable distributions: an overview. (English) Zbl 1480.60039 Ann. Oper. Res. 299, No. 1-2, 1253-1280 (2021). MSC: 60E07 60G51 60G52 62F10 PDFBibTeX XMLCite \textit{H. Fallahgoul} and \textit{G. Loeper}, Ann. Oper. Res. 299, No. 1--2, 1253--1280 (2021; Zbl 1480.60039) Full Text: DOI
Costa, Manon; Gadat, Sébastien Non asymptotic controls on a recursive superquantile approximation. (English) Zbl 1471.62443 Electron. J. Stat. 15, No. 2, 4718-4769 (2021). MSC: 62L20 60F05 62P05 PDFBibTeX XMLCite \textit{M. Costa} and \textit{S. Gadat}, Electron. J. Stat. 15, No. 2, 4718--4769 (2021; Zbl 1471.62443) Full Text: DOI arXiv Link
Oliveira, Gabriela; Barreto-Souza, Wagner; Silva, Roger W. C. Convergence and inference for mixed Poisson random sums. (English) Zbl 1470.60079 Metrika 84, No. 5, 751-777 (2021). MSC: 60F05 62E20 PDFBibTeX XMLCite \textit{G. Oliveira} et al., Metrika 84, No. 5, 751--777 (2021; Zbl 1470.60079) Full Text: DOI arXiv
Slepov, N. A. Convergence rate of random geometric sum distributions to the Laplace law. (English. Russian original) Zbl 1466.62258 Theory Probab. Appl. 66, No. 1, 121-141 (2021); translation from Teor. Veroyatn. Primen. 66, No. 1, 149-174 (2021). MSC: 62E20 60B10 60E15 PDFBibTeX XMLCite \textit{N. A. Slepov}, Theory Probab. Appl. 66, No. 1, 121--141 (2021; Zbl 1466.62258); translation from Teor. Veroyatn. Primen. 66, No. 1, 149--174 (2021) Full Text: DOI
Krzyżanowski, Grzegorz; Magdziarz, Marcin A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. (English) Zbl 1459.91220 Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDFBibTeX XMLCite \textit{G. Krzyżanowski} and \textit{M. Magdziarz}, Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021; Zbl 1459.91220) Full Text: DOI arXiv
Xing, Guo-dong; Gan, Xiaoli; Li, Xiaohu; Yang, Shanchao On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552808 Commun. Stat., Simulation Comput. 49, No. 9, 2462-2471 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 9, 2462--2471 (2020; Zbl 07552808) Full Text: DOI
Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. (English) Zbl 07552783 Commun. Stat., Simulation Comput. 49, No. 8, 2049-2058 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 8, 2049--2058 (2020; Zbl 07552783) Full Text: DOI
Jurić, Višnja; Kozubowski, Tomasz J.; Perman, Mihael An asymmetric multivariate Weibull distribution. (English) Zbl 07528959 Commun. Stat., Theory Methods 49, No. 18, 4394-4412 (2020). MSC: 60E05 62E10 62H05 62H12 62P05 62-XX PDFBibTeX XMLCite \textit{V. Jurić} et al., Commun. Stat., Theory Methods 49, No. 18, 4394--4412 (2020; Zbl 07528959) Full Text: DOI
Arefi, Ahmad; Pourtaheri, Reza Multi-modal tempered stable distributions and prosses with applications to finance. (English) Zbl 1511.60032 Commun. Stat., Theory Methods 49, No. 17, 4133-4149 (2020). MSC: 60E07 60G51 60G52 62P05 91G15 91G70 PDFBibTeX XMLCite \textit{A. Arefi} and \textit{R. Pourtaheri}, Commun. Stat., Theory Methods 49, No. 17, 4133--4149 (2020; Zbl 1511.60032) Full Text: DOI
Bhati, Deepesh A test procedure for distinguishing logarithmically decaying tail from polynomially decaying tail. (English) Zbl 1485.62056 J. Korean Stat. Soc. 49, No. 3, 841-862 (2020). MSC: 62G10 60F05 62G32 62P20 PDFBibTeX XMLCite \textit{D. Bhati}, J. Korean Stat. Soc. 49, No. 3, 841--862 (2020; Zbl 1485.62056) Full Text: DOI
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Conformal accelerations method and efficient evaluation of stable distributions. (English) Zbl 1459.35374 Acta Appl. Math. 169, 711-765 (2020). MSC: 35R11 33F05 42A38 60G52 65D30 65M70 PDFBibTeX XMLCite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Acta Appl. Math. 169, 711--765 (2020; Zbl 1459.35374) Full Text: DOI arXiv
Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, Sergio Joint tails impact in stochastic volatility portfolio selection models. (English) Zbl 1455.91232 Ann. Oper. Res. 292, No. 2, 833-848 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60E15 60J28 PDFBibTeX XMLCite \textit{M. Bonomelli} et al., Ann. Oper. Res. 292, No. 2, 833--848 (2020; Zbl 1455.91232) Full Text: DOI
Kakinaka, Shinji; Umeno, Ken Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws. (English) Zbl 1456.62034 Chaos 30, No. 7, 073128, 14 p. (2020). MSC: 62F10 62F07 60E10 PDFBibTeX XMLCite \textit{S. Kakinaka} and \textit{K. Umeno}, Chaos 30, No. 7, 073128, 14 p. (2020; Zbl 1456.62034) Full Text: DOI arXiv
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen The skew normal multivariate risk measurement framework. (English) Zbl 07205160 Comput. Manag. Sci. 17, No. 1, 105-119 (2020). MSC: 60E05 62E15 91G70 PDFBibTeX XMLCite \textit{M. Bernardi} et al., Comput. Manag. Sci. 17, No. 1, 105--119 (2020; Zbl 07205160) Full Text: DOI Link
Grzesiek, Aleksandra; Sikora, Grzegorz; Teuerle, Marek; Wyłomańska, Agnieszka Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise. (English) Zbl 1456.62190 J. Time Ser. Anal. 41, No. 3, 454-475 (2020). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62M30 62H11 60G52 93E12 PDFBibTeX XMLCite \textit{A. Grzesiek} et al., J. Time Ser. Anal. 41, No. 3, 454--475 (2020; Zbl 1456.62190) Full Text: DOI
Zhu, Qianqian; Zeng, Ruochen; Li, Guodong Bootstrap inference for GARCH models by the least absolute deviation estimation. (English) Zbl 1455.62185 J. Time Ser. Anal. 41, No. 1, 21-40 (2020). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62M20 62F40 62P20 60G35 PDFBibTeX XMLCite \textit{Q. Zhu} et al., J. Time Ser. Anal. 41, No. 1, 21--40 (2020; Zbl 1455.62185) Full Text: DOI
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît The contribution of intraday jumps to forecasting the density of returns. (English) Zbl 1517.91211 J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020). MSC: 91G15 60J74 62P05 PDFBibTeX XMLCite \textit{C. Chorro} et al., J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020; Zbl 1517.91211) Full Text: DOI
Halvarsson, Daniel Maximum likelihood estimation of asymmetric double type II Pareto distributions. (English) Zbl 1437.62081 J. Stat. Theory Pract. 14, No. 2, Paper No. 22, 34 p. (2020). MSC: 62E15 60E05 62F10 62B10 62P20 PDFBibTeX XMLCite \textit{D. Halvarsson}, J. Stat. Theory Pract. 14, No. 2, Paper No. 22, 34 p. (2020; Zbl 1437.62081) Full Text: DOI
Barreto-Souza, Wagner; Silva, Rodrigo B. A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log-returns. (English) Zbl 07788775 Stat. Neerl. 73, No. 2, 211-233 (2019). MSC: 91Bxx 60Exx 62Hxx PDFBibTeX XMLCite \textit{W. Barreto-Souza} and \textit{R. B. Silva}, Stat. Neerl. 73, No. 2, 211--233 (2019; Zbl 07788775) Full Text: DOI
Novales, Alfonso; Garcia-Jorcano, Laura Backtesting extreme value theory models of expected shortfall. (English) Zbl 1420.91493 Quant. Finance 19, No. 5, 799-825 (2019). MSC: 91G40 60G70 PDFBibTeX XMLCite \textit{A. Novales} and \textit{L. Garcia-Jorcano}, Quant. Finance 19, No. 5, 799--825 (2019; Zbl 1420.91493) Full Text: DOI Link
Biswas, Anup; Lőrinczi, József Universal constraints on the location of extrema of eigenfunctions of non-local Schrödinger operators. (English) Zbl 1419.35268 J. Differ. Equations 267, No. 1, 267-306 (2019). Reviewer: René L. Schilling (Dresden) MSC: 35S15 47A75 60G51 60J75 PDFBibTeX XMLCite \textit{A. Biswas} and \textit{J. Lőrinczi}, J. Differ. Equations 267, No. 1, 267--306 (2019; Zbl 1419.35268) Full Text: DOI arXiv Link
Tapiero, Charles S.; Vallois, Pierre Randomness and fractional stable distributions. (English) Zbl 1514.60030 Physica A 511, 54-60 (2018). MSC: 60E07 60G22 26A33 PDFBibTeX XMLCite \textit{C. S. Tapiero} and \textit{P. Vallois}, Physica A 511, 54--60 (2018; Zbl 1514.60030) Full Text: DOI
Krutto, Annika Empirical cumulant function based parameter estimation in stable laws. (English) Zbl 1419.60017 Acta Comment. Univ. Tartu. Math. 22, No. 2, 311-338 (2018). MSC: 60E07 60E10 62F10 PDFBibTeX XMLCite \textit{A. Krutto}, Acta Comment. Univ. Tartu. Math. 22, No. 2, 311--338 (2018; Zbl 1419.60017) Full Text: DOI
Chen, Likai; Wu, Wei Biao Concentration inequalities for empirical processes of linear time series. (English) Zbl 1476.60039 J. Mach. Learn. Res. 18(2017-2018), Paper No. 231, 46 p. (2018). MSC: 60E15 62M10 PDFBibTeX XMLCite \textit{L. Chen} and \textit{W. B. Wu}, J. Mach. Learn. Res. 18, Paper No. 231, 46 p. (2018; Zbl 1476.60039)
Kim, Sung Ik; Kim, Young Shin Tempered stable structural model in pricing credit spread and credit default swap. (English) Zbl 1417.91527 Rev. Deriv. Res. 21, No. 1, 119-148 (2018). MSC: 91G40 91G20 60G51 PDFBibTeX XMLCite \textit{S. I. Kim} and \textit{Y. S. Kim}, Rev. Deriv. Res. 21, No. 1, 119--148 (2018; Zbl 1417.91527) Full Text: DOI
Nolan, John P. Truncated fractional moments of stable laws. (English) Zbl 1406.60030 Stat. Probab. Lett. 137, 312-318 (2018). MSC: 60E07 60E10 PDFBibTeX XMLCite \textit{J. P. Nolan}, Stat. Probab. Lett. 137, 312--318 (2018; Zbl 1406.60030) Full Text: DOI arXiv
Calzolari, Giorgio; Halbleib, Roxana Estimating stable latent factor models by indirect inference. (English) Zbl 1452.62747 J. Econom. 205, No. 1, 280-301 (2018). MSC: 62P05 60E07 62M10 62H15 62P20 PDFBibTeX XMLCite \textit{G. Calzolari} and \textit{R. Halbleib}, J. Econom. 205, No. 1, 280--301 (2018; Zbl 1452.62747) Full Text: DOI
Ament, Sebastian; O’Neil, Michael Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics. (English) Zbl 1384.65024 Stat. Comput. 28, No. 1, 171-185 (2018). MSC: 65D32 60E07 PDFBibTeX XMLCite \textit{S. Ament} and \textit{M. O'Neil}, Stat. Comput. 28, No. 1, 171--185 (2018; Zbl 1384.65024) Full Text: DOI arXiv
Kumar, A.; Wyłomańska, A.; Gajda, J. Stable Lévy motion with inverse Gaussian subordinator. (English) Zbl 1495.60017 Physica A 482, 486-500 (2017). MSC: 60G15 60G22 60J65 PDFBibTeX XMLCite \textit{A. Kumar} et al., Physica A 482, 486--500 (2017; Zbl 1495.60017) Full Text: DOI
Tafakori, Laleh; Soltani, A. R. A note on the Cauchy-type mixture distributions. (English) Zbl 1478.60062 J. Stat. Comput. Simulation 87, No. 9, 1901-1910 (2017). MSC: 60E05 60E07 60E10 PDFBibTeX XMLCite \textit{L. Tafakori} and \textit{A. R. Soltani}, J. Stat. Comput. Simulation 87, No. 9, 1901--1910 (2017; Zbl 1478.60062) Full Text: DOI
Gong, Xiaoli; Zhuang, Xintian American option valuation under time changed tempered stable Lévy processes. (English) Zbl 1400.91593 Physica A 466, 57-68 (2017). MSC: 91G20 60G51 90C59 PDFBibTeX XMLCite \textit{X. Gong} and \textit{X. Zhuang}, Physica A 466, 57--68 (2017; Zbl 1400.91593) Full Text: DOI
Burnecki, Krzysztof; Sikora, Grzegorz Identification and validation of stable ARFIMA processes with application to UMTS data. (English) Zbl 1492.62130 Chaos Solitons Fractals 102, 456-466 (2017). MSC: 62M10 60E07 62P20 PDFBibTeX XMLCite \textit{K. Burnecki} and \textit{G. Sikora}, Chaos Solitons Fractals 102, 456--466 (2017; Zbl 1492.62130) Full Text: DOI
Julián-Moreno, Guillermo; López de Vergara, Jorge E.; González, Iván; de Pedro, Luis; Royuela-del-Val, Javier; Simmross-Wattenberg, Federico Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs. (English) Zbl 1505.62209 Stat. Comput. 27, No. 5, 1365-1382 (2017). MSC: 62-08 60E07 62F10 PDFBibTeX XMLCite \textit{G. Julián-Moreno} et al., Stat. Comput. 27, No. 5, 1365--1382 (2017; Zbl 1505.62209) Full Text: DOI
Long, Hongwei; Ma, Chunhua; Shimizu, Yasutaka Least squares estimators for stochastic differential equations driven by small Lévy noises. (English) Zbl 1362.62048 Stochastic Processes Appl. 127, No. 5, 1475-1495 (2017). MSC: 62F12 62M05 60G52 60J75 62P05 PDFBibTeX XMLCite \textit{H. Long} et al., Stochastic Processes Appl. 127, No. 5, 1475--1495 (2017; Zbl 1362.62048) Full Text: DOI
Tzagkarakis, George; Dionysopoulos, Thomas; Achim, Alin Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes. (English) Zbl 1507.62335 Stud. Nonlinear Dyn. Econom. 20, No. 1, 75-96 (2016). MSC: 62P05 60E07 PDFBibTeX XMLCite \textit{G. Tzagkarakis} et al., Stud. Nonlinear Dyn. Econom. 20, No. 1, 75--96 (2016; Zbl 1507.62335) Full Text: DOI
Ye, Lu Saddlepoint approximations for subordinator processes. (English) Zbl 1510.60015 J. Stat. Comput. Simulation 86, No. 11, 2053-2072 (2016). MSC: 60E07 60E10 60G51 62E17 PDFBibTeX XMLCite \textit{L. Ye}, J. Stat. Comput. Simulation 86, No. 11, 2053--2072 (2016; Zbl 1510.60015) Full Text: DOI
Stibůrek, David Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift. (English) Zbl 1426.62247 J. Stat. Theory Pract. 10, No. 2, 389-404 (2016). MSC: 62M05 60E07 60G51 62F03 60H05 62F12 PDFBibTeX XMLCite \textit{D. Stibůrek}, J. Stat. Theory Pract. 10, No. 2, 389--404 (2016; Zbl 1426.62247) Full Text: DOI
Ortobelli Lozza, Sergio; Lando, Tommaso; Petronio, Filomena; Tichý, Tomáš Asymptotic multivariate dominance: a financial application. (English) Zbl 1370.60027 Methodol. Comput. Appl. Probab. 18, No. 4, 1097-1115 (2016). MSC: 60E07 60E15 90B50 91G80 PDFBibTeX XMLCite \textit{S. Ortobelli Lozza} et al., Methodol. Comput. Appl. Probab. 18, No. 4, 1097--1115 (2016; Zbl 1370.60027) Full Text: DOI
Davis, Mark H. A. Verification of internal risk measure estimates. (English) Zbl 1356.91102 Stat. Risk. Model. 33, No. 3-4, 67-93 (2016). MSC: 91G70 60A05 62P05 PDFBibTeX XMLCite \textit{M. H. A. Davis}, Stat. Risk. Model. 33, No. 3--4, 67--93 (2016; Zbl 1356.91102) Full Text: DOI arXiv
Korolev, V. Yu. Product representations for random variables with Weibull distributions and their applications. (English) Zbl 1387.60024 J. Math. Sci., New York 218, No. 3, 298-313 (2016). MSC: 60E05 60E07 62E15 PDFBibTeX XMLCite \textit{V. Yu. Korolev}, J. Math. Sci., New York 218, No. 3, 298--313 (2016; Zbl 1387.60024) Full Text: DOI
Korolev, V. Yu.; Kurmangazieva, Lily; Zeifman, A. I. On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws. (English) Zbl 1381.60051 J. Korean Stat. Soc. 45, No. 2, 238-249 (2016). MSC: 60E07 60F99 PDFBibTeX XMLCite \textit{V. Yu. Korolev} et al., J. Korean Stat. Soc. 45, No. 2, 238--249 (2016; Zbl 1381.60051) Full Text: DOI arXiv
Grabchak, Michael On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes. (English) Zbl 1333.62075 Stat. Inference Stoch. Process. 19, No. 1, 29-50 (2016). MSC: 62F12 62M05 60G51 60G52 PDFBibTeX XMLCite \textit{M. Grabchak}, Stat. Inference Stoch. Process. 19, No. 1, 29--50 (2016; Zbl 1333.62075) Full Text: DOI
Ortobelli, Sergio; Lando, Tommaso; Petronio, Filomena; Tichý, Tomas Asymptotic stochastic dominance rules for sums of i.i.d. random variables. (English) Zbl 1331.60040 J. Comput. Appl. Math. 300, 432-448 (2016). MSC: 60E15 60E07 91G10 PDFBibTeX XMLCite \textit{S. Ortobelli} et al., J. Comput. Appl. Math. 300, 432--448 (2016; Zbl 1331.60040) Full Text: DOI
Tsionas, Mike G. Bayesian analysis of multivariate stable distributions using one-dimensional projections. (English) Zbl 1388.60052 J. Multivariate Anal. 143, 185-193 (2016). MSC: 60E07 60E10 62F15 PDFBibTeX XMLCite \textit{M. G. Tsionas}, J. Multivariate Anal. 143, 185--193 (2016; Zbl 1388.60052) Full Text: DOI arXiv
Sampaio, J. M.; Morettin, P. A. Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models. (English) Zbl 1457.62277 J. Stat. Comput. Simulation 85, No. 13, 2702-2717 (2015). MSC: 62M10 60E07 62P20 PDFBibTeX XMLCite \textit{J. M. Sampaio} and \textit{P. A. Morettin}, J. Stat. Comput. Simulation 85, No. 13, 2702--2717 (2015; Zbl 1457.62277) Full Text: DOI
Shokripour, Mona; Aminghafari, Mina Wavelet-based estimation for multivariate stable laws. (English) Zbl 1457.62172 J. Stat. Comput. Simulation 85, No. 8, 1584-1600 (2015). MSC: 62H12 60E07 62P05 42C40 94A12 PDFBibTeX XMLCite \textit{M. Shokripour} and \textit{M. Aminghafari}, J. Stat. Comput. Simulation 85, No. 8, 1584--1600 (2015; Zbl 1457.62172) Full Text: DOI
Lee, Taewook; Kim, Moosup; Baek, Changryong Tests for volatility shifts in GARCH against long-range dependence. (English) Zbl 1307.62210 J. Time Ser. Anal. 36, No. 2, 127-153 (2015). MSC: 62M10 62G10 60G18 PDFBibTeX XMLCite \textit{T. Lee} et al., J. Time Ser. Anal. 36, No. 2, 127--153 (2015; Zbl 1307.62210) Full Text: DOI
Fallahgoul, Hassan; Hashemiparast, S. M.; Fabozzi, Frank J.; Klebanov, L. Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions. (English) Zbl 1442.60029 J. Stat. Theory Pract. 8, No. 2, 260-282 (2014). MSC: 60E07 62E10 65C20 PDFBibTeX XMLCite \textit{H. Fallahgoul} et al., J. Stat. Theory Pract. 8, No. 2, 260--282 (2014; Zbl 1442.60029) Full Text: DOI
Calzolari, Giorgio; Halbleib, Roxana; Parrini, Alessandro Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood. (English) Zbl 1506.62032 Comput. Stat. Data Anal. 76, 158-171 (2014). MSC: 62-08 60E07 62M10 62F10 62P05 PDFBibTeX XMLCite \textit{G. Calzolari} et al., Comput. Stat. Data Anal. 76, 158--171 (2014; Zbl 1506.62032) Full Text: DOI Link
Kim, Jongwook; Jo, Junghyo An exactly solvable correlated stochastic process in finite time. (English) Zbl 1395.60012 Physica A 406, 230-235 (2014). MSC: 60C05 60G99 62M10 PDFBibTeX XMLCite \textit{J. Kim} and \textit{J. Jo}, Physica A 406, 230--235 (2014; Zbl 1395.60012) Full Text: DOI
Bianchi, Michele Leonardo; Fabozzi, Frank J. Discussion of ‘On simulation and properties of the stable law’ by Devroye and James. (English) Zbl 1332.65007 Stat. Methods Appl. 23, No. 3, 353-357 (2014). MSC: 65C10 65C05 60E05 60E07 60E10 PDFBibTeX XMLCite \textit{M. L. Bianchi} and \textit{F. J. Fabozzi}, Stat. Methods Appl. 23, No. 3, 353--357 (2014; Zbl 1332.65007) Full Text: DOI
Christiansen, Marcus C.; Loperfido, Nicola Improved approximation of the sum of random vectors by the skew normal distribution. (English) Zbl 1304.60030 J. Appl. Probab. 51, No. 2, 466-482 (2014). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 60F05 60B12 15A69 62E17 PDFBibTeX XMLCite \textit{M. C. Christiansen} and \textit{N. Loperfido}, J. Appl. Probab. 51, No. 2, 466--482 (2014; Zbl 1304.60030) Full Text: DOI
Levy, Joshua B.; Taqqu, Murad S. The asymptotic codifference and covariation of log-fractional stable noise. (English) Zbl 1311.60054 J. Econom. 181, No. 1, 34-43 (2014). MSC: 60G52 PDFBibTeX XMLCite \textit{J. B. Levy} and \textit{M. S. Taqqu}, J. Econom. 181, No. 1, 34--43 (2014; Zbl 1311.60054) Full Text: DOI
Hu, Gaoge; Gao, Shesheng; Zhong, Yongmin; Gu, Chengfan Random weighting estimation of stable exponent. (English) Zbl 1396.62031 Metrika 77, No. 4, 451-468 (2014). MSC: 62F10 60E07 62F12 62G32 PDFBibTeX XMLCite \textit{G. Hu} et al., Metrika 77, No. 4, 451--468 (2014; Zbl 1396.62031) Full Text: DOI
Fasen, Vicky Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration. (English) Zbl 1443.62347 J. Econom. 172, No. 2, 325-337 (2013). MSC: 62P05 62M05 60G51 60G52 PDFBibTeX XMLCite \textit{V. Fasen}, J. Econom. 172, No. 2, 325--337 (2013; Zbl 1443.62347) Full Text: DOI Link
Ogata, Hiroaki Estimation for multivariate stable distributions with generalized empirical likelihood. (English) Zbl 1443.62496 J. Econom. 172, No. 2, 248-254 (2013). MSC: 62P20 62H12 60E07 62P05 PDFBibTeX XMLCite \textit{H. Ogata}, J. Econom. 172, No. 2, 248--254 (2013; Zbl 1443.62496) Full Text: DOI Link
Dominicy, Yves; Veredas, David The method of simulated quantiles. (English) Zbl 1443.62442 J. Econom. 172, No. 2, 235-247 (2013). MSC: 62P20 62F10 60E07 62F12 62P05 PDFBibTeX XMLCite \textit{Y. Dominicy} and \textit{D. Veredas}, J. Econom. 172, No. 2, 235--247 (2013; Zbl 1443.62442) Full Text: DOI Link Link
Nolan, John P.; Ojeda-Revah, Diana Linear and nonlinear regression with stable errors. (English) Zbl 1443.62204 J. Econom. 172, No. 2, 186-194 (2013). MSC: 62J05 60E07 62E20 62F12 62F25 62J02 62P20 PDFBibTeX XMLCite \textit{J. P. Nolan} and \textit{D. Ojeda-Revah}, J. Econom. 172, No. 2, 186--194 (2013; Zbl 1443.62204) Full Text: DOI Link
El-Hafsi, Boukhalfa Average sample number function for Pareto heavy tailed distributions. (English) Zbl 1298.60035 ISRN Appl. Math. 2013, Article ID 938545, 8 p. (2013). MSC: 60F10 PDFBibTeX XMLCite \textit{B. El-Hafsi}, ISRN Appl. Math. 2013, Article ID 938545, 8 p. (2013; Zbl 1298.60035) Full Text: DOI
Meerschaert, Mark M.; Scheffler, Hans-Peter; Stoev, Stilian A. Extreme value theory with operator norming. (English) Zbl 1286.60047 Extremes 16, No. 4, 407-428 (2013). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 60G70 60G52 60F17 62G32 62G09 62G10 PDFBibTeX XMLCite \textit{M. M. Meerschaert} et al., Extremes 16, No. 4, 407--428 (2013; Zbl 1286.60047) Full Text: DOI Link
Chan, Ngai Hang; Zhang, Rongmao Non-stationary autoregressive processes with infinite variance. (English) Zbl 1282.62190 J. Time Ser. Anal. 33, No. 6, 916-934 (2012). MSC: 62M10 62E20 60F17 60H05 PDFBibTeX XMLCite \textit{N. H. Chan} and \textit{R. Zhang}, J. Time Ser. Anal. 33, No. 6, 916--934 (2012; Zbl 1282.62190) Full Text: DOI
Zhang, Rong-Mao; Chan, Ngai Hang Maximum likelihood estimation for nearly non-stationary stable autoregressive processes. (English) Zbl 1282.62209 J. Time Ser. Anal. 33, No. 4, 542-553 (2012). MSC: 62M10 62E20 60F17 PDFBibTeX XMLCite \textit{R.-M. Zhang} and \textit{N. H. Chan}, J. Time Ser. Anal. 33, No. 4, 542--553 (2012; Zbl 1282.62209) Full Text: DOI
Meintanis, Simos G.; Taufer, Emanuele Inference procedures for stable-Paretian stochastic volatility models. (English) Zbl 1255.91308 Math. Comput. Modelling 55, No. 3-4, 1199-1212 (2012). MSC: 91B70 62P05 60G52 PDFBibTeX XMLCite \textit{S. G. Meintanis} and \textit{E. Taufer}, Math. Comput. Modelling 55, No. 3--4, 1199--1212 (2012; Zbl 1255.91308) Full Text: DOI
Kotchoni, Rachidi Applications of the characteristic function-based continuum GMM in finance. (English) Zbl 1254.91754 Comput. Stat. Data Anal. 56, No. 11, 3599-3622 (2012). MSC: 91G70 62P05 91B84 62M10 91B82 60E10 PDFBibTeX XMLCite \textit{R. Kotchoni}, Comput. Stat. Data Anal. 56, No. 11, 3599--3622 (2012; Zbl 1254.91754) Full Text: DOI
Chen, Zhanshou; Jin, Zi; Tian, Zheng; Qi, Peiyan Bootstrap testing multiple changes in persistence for a heavy-tailed sequence. (English) Zbl 1252.62086 Comput. Stat. Data Anal. 56, No. 7, 2303-2316 (2012). MSC: 62M07 62G09 60G10 62M10 62G10 65C60 PDFBibTeX XMLCite \textit{Z. Chen} et al., Comput. Stat. Data Anal. 56, No. 7, 2303--2316 (2012; Zbl 1252.62086) Full Text: DOI
Kim, Young Shin The fractional multivariate normal tempered stable process. (English) Zbl 1267.60042 Appl. Math. Lett. 25, No. 12, 2396-2401 (2012). Reviewer: Tamas Szabados (Budapest) MSC: 60G22 60G51 60G52 PDFBibTeX XMLCite \textit{Y. S. Kim}, Appl. Math. Lett. 25, No. 12, 2396--2401 (2012; Zbl 1267.60042) Full Text: DOI
Garcia, René; Renault, Eric; Veredas, David Estimation of stable distributions by indirect inference. (English) Zbl 1441.62699 J. Econom. 161, No. 2, 325-337 (2011). MSC: 62P20 60E07 62F10 62P05 PDFBibTeX XMLCite \textit{R. Garcia} et al., J. Econom. 161, No. 2, 325--337 (2011; Zbl 1441.62699) Full Text: DOI
Qin, Ruibing; Tian, Zheng; Jin, Hao Truncating estimation for the change in stochastic trend with heavy-tailed innovations. (English) Zbl 1247.60046 Stat. Pap. 52, No. 1, 203-217 (2011). MSC: 60F17 62M10 60G52 62L12 62E20 PDFBibTeX XMLCite \textit{R. Qin} et al., Stat. Pap. 52, No. 1, 203--217 (2011; Zbl 1247.60046) Full Text: DOI
Xiao, Yimin Properties of strong local nondeterminism and local times of stable random fields. (English) Zbl 1261.60048 Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 279-308 (2011). Reviewer: Peter Kern (Düsseldorf) MSC: 60G60 60G52 60G17 60G18 PDFBibTeX XMLCite \textit{Y. Xiao}, Prog. Probab. 63, 279--308 (2011; Zbl 1261.60048) Full Text: DOI
Jørgensen, Bent; Kokonendji, Célestin C. Dispersion models for geometric sums. (English) Zbl 1271.62025 Braz. J. Probab. Stat. 25, No. 3, 263-293 (2011). MSC: 62E10 62E20 60E99 PDFBibTeX XMLCite \textit{B. Jørgensen} and \textit{C. C. Kokonendji}, Braz. J. Probab. Stat. 25, No. 3, 263--293 (2011; Zbl 1271.62025) Full Text: DOI
Paulauskas, Vygantas; Rachev, Svetlozar T.; Fabozzi, Frank J. Comment on “Weak convergence to a matrix stochastic integral with stable processes”. (English) Zbl 1274.62935 Econom. Theory 27, No. 4, 907-911 (2011). MSC: 62P20 60F05 62M10 PDFBibTeX XMLCite \textit{V. Paulauskas} et al., Econom. Theory 27, No. 4, 907--911 (2011; Zbl 1274.62935) Full Text: DOI
Zhou, Zhou; Wu, Wei Biao On linear models with long memory and heavy-tailed errors. (English) Zbl 1327.62416 J. Multivariate Anal. 102, No. 2, 349-362 (2011). MSC: 62J05 60G18 60G51 PDFBibTeX XMLCite \textit{Z. Zhou} and \textit{W. B. Wu}, J. Multivariate Anal. 102, No. 2, 349--362 (2011; Zbl 1327.62416) Full Text: DOI
Han, Dong; Tsung, Fugee; Li, Yanting; Xian, Jinguo Detection of changes in a random financial sequence with a stable distribution. (English) Zbl 1511.62292 J. Appl. Stat. 37, No. 7, 1089-1111 (2010). MSC: 62P05 62L10 60E07 62P30 PDFBibTeX XMLCite \textit{D. Han} et al., J. Appl. Stat. 37, No. 7, 1089--1111 (2010; Zbl 1511.62292) Full Text: DOI
Umarov, Sabir; Tsallis, Constantino; Gell-Mann, Murray; Steinberg, Stanly Generalization of symmetric \(\alpha\)-stable Lévy distributions for \(q > 1\). (English) Zbl 1309.60014 J. Math. Phys. 51, No. 3, 033502, 23 p. (2010). MSC: 60F05 60E07 82C31 92B10 91B02 PDFBibTeX XMLCite \textit{S. Umarov} et al., J. Math. Phys. 51, No. 3, 033502, 23 p. (2010; Zbl 1309.60014) Full Text: DOI arXiv
Cohen, Serge; Meerschaert, Mark M.; Rosiński, Jan Modeling and simulation with operator scaling. (English) Zbl 1222.60033 Stochastic Processes Appl. 120, No. 12, 2390-2411 (2010). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G18 60G51 65C05 PDFBibTeX XMLCite \textit{S. Cohen} et al., Stochastic Processes Appl. 120, No. 12, 2390--2411 (2010; Zbl 1222.60033) Full Text: DOI arXiv
Lim, S. C.; Teo, L. P. Analytic and asymptotic properties of multivariate generalized Linnik’s probability densities. (English) Zbl 1202.60028 J. Fourier Anal. Appl. 16, No. 5, 715-747 (2010). MSC: 60E05 60E10 PDFBibTeX XMLCite \textit{S. C. Lim} and \textit{L. P. Teo}, J. Fourier Anal. Appl. 16, No. 5, 715--747 (2010; Zbl 1202.60028) Full Text: DOI arXiv
Linton, Oliver; Pan, Jiazhu; Wang, Hui Estimation for a nonstationary semi-strong GARCH(1,1) model with heavy-tailed errors. (English) Zbl 1181.62140 Econom. Theory 26, No. 1, 1-28 (2010). MSC: 62M10 62E20 62M09 62G05 60E07 PDFBibTeX XMLCite \textit{O. Linton} et al., Econom. Theory 26, No. 1, 1--28 (2010; Zbl 1181.62140) Full Text: DOI
Lombardi, Marco J.; Veredas, David Indirect estimation of elliptical stable distributions. (English) Zbl 1453.62144 Comput. Stat. Data Anal. 53, No. 6, 2309-2324 (2009). MSC: 62-08 60E07 62P05 PDFBibTeX XMLCite \textit{M. J. Lombardi} and \textit{D. Veredas}, Comput. Stat. Data Anal. 53, No. 6, 2309--2324 (2009; Zbl 1453.62144) Full Text: DOI Link
Cartea, Álvaro; Howison, Sam Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance. (English) Zbl 1188.91212 Quant. Finance 9, No. 4, 397-409 (2009). Reviewer: Gong Guanglu (Beijing) MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{Á. Cartea} and \textit{S. Howison}, Quant. Finance 9, No. 4, 397--409 (2009; Zbl 1188.91212) Full Text: DOI Link
Chan, Ngai Hang; Zhang, Rong-Mao Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence. (English) Zbl 1177.62105 Stochastic Processes Appl. 119, No. 12, 4124-4148 (2009). MSC: 62M10 62E20 62G05 62G08 60F17 PDFBibTeX XMLCite \textit{N. H. Chan} and \textit{R.-M. Zhang}, Stochastic Processes Appl. 119, No. 12, 4124--4148 (2009; Zbl 1177.62105) Full Text: DOI
Fan, Zhaozhi Minimum-distance estimator for stable exponent. (English) Zbl 1159.62018 Commun. Stat., Theory Methods 38, No. 4, 511-528 (2009). MSC: 62G05 62G30 62G20 62F12 60E07 PDFBibTeX XMLCite \textit{Z. Fan}, Commun. Stat., Theory Methods 38, No. 4, 511--528 (2009; Zbl 1159.62018) Full Text: DOI
Lahiri, S. N.; Sun, S. A Berry-Esseen theorem for sample quantiles under weak dependence. (English) Zbl 1158.60007 Ann. Appl. Probab. 19, No. 1, 108-126 (2009). MSC: 60F05 60G10 62E20 PDFBibTeX XMLCite \textit{S. N. Lahiri} and \textit{S. Sun}, Ann. Appl. Probab. 19, No. 1, 108--126 (2009; Zbl 1158.60007) Full Text: DOI arXiv
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. A new tempered stable distribution and its application to finance. (English) Zbl 1154.91507 Bol, Georg (ed.) et al., Risk assessment. Decisions in banking and finance. Selected papers based on the presentations at the 9th econometric workshop, Karlsruhe, Germany, April 5–7, 2006. Heidelberg : Physica-Verlag (ISBN 978-3-7908-2049-2/hbk; 978-3-7908-2050-8/ebook). Contributions to Economics, 77-109 (2009). MSC: 91B30 60E99 91B28 PDFBibTeX XMLCite \textit{Y. S. Kim} et al., in: Risk assessment. Decisions in banking and finance. Selected papers based on the presentations at the 9th econometric workshop, Karlsruhe, Germany, April 5--7, 2006. Heidelberg : Physica-Verlag. 77--109 (2009; Zbl 1154.91507) Full Text: DOI
Matsui, Muneya; Takemura, Akimichi Integral representations of one-dimensional projections for multivariate stable densities. (English) Zbl 1155.60007 J. Multivariate Anal. 100, No. 3, 334-344 (2009). MSC: 60E07 60E10 62H10 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{A. Takemura}, J. Multivariate Anal. 100, No. 3, 334--344 (2009; Zbl 1155.60007) Full Text: DOI arXiv
Ishwaran, Hemant; Jahandideh, Mohammad T.; Zarepour, Mahmoud Option pricing for infinite variance data. (English) Zbl 1284.91546 Statistics 42, No. 3, 245-260 (2008). MSC: 91G20 62G05 60G55 62P05 PDFBibTeX XMLCite \textit{H. Ishwaran} et al., Statistics 42, No. 3, 245--260 (2008; Zbl 1284.91546) Full Text: DOI
Matsui, Muneya; Takemura, Akimichi Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach. (English) Zbl 1367.60014 Test 17, No. 3, 546-566 (2008). MSC: 60E07 62G10 62E20 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{A. Takemura}, Test 17, No. 3, 546--566 (2008; Zbl 1367.60014) Full Text: DOI arXiv
McAleer, Michael; Medeiros, Marcelo C. Realized volatility: a review. (English) Zbl 1148.62089 Econom. Rev. 27, No. 1-3, 10-45 (2008). MSC: 62P05 60G35 91B28 PDFBibTeX XMLCite \textit{M. McAleer} and \textit{M. C. Medeiros}, Econom. Rev. 27, No. 1--3, 10--45 (2008; Zbl 1148.62089) Full Text: DOI
Nowicka-Zagrajek, J.; Wyłomańska, A. Measures of dependence for stable AR(1) models with time-varying coefficients. (English) Zbl 1135.60028 Stoch. Models 24, No. 1, 58-70 (2008). MSC: 60G52 60H35 90B70 PDFBibTeX XMLCite \textit{J. Nowicka-Zagrajek} and \textit{A. Wyłomańska}, Stoch. Models 24, No. 1, 58--70 (2008; Zbl 1135.60028) Full Text: DOI
Bergenthum, Jan; Rüschendorf, Ludger Convex ordering criteria for Lévy processes. (English) Zbl 1301.91018 Adv. Data Anal. Classif., ADAC 1, No. 2, 143-173 (2007). MSC: 91B30 60G51 91G20 PDFBibTeX XMLCite \textit{J. Bergenthum} and \textit{L. Rüschendorf}, Adv. Data Anal. Classif., ADAC 1, No. 2, 143--173 (2007; Zbl 1301.91018) Full Text: DOI