The simple algorithm used in this Demonstration can calculate the stable distribution function and its first several derivatives with good accuracy for α>1. It is offered to help with financial analysis where the data generally has the shape parameter greater than 1. The Nolan 1-parameterization is used where the parameters have the characteristics listed below. α is the distribution shape parameter, 0≤α≤2. For α=2 the result is the normal distribution; α is the tail exponent of the distribution: lower values give fatter tails. β is the skewness parameter in the range (-1, 1). γ is the scale parameter. δ is the location parameter; when α>1 as in this Demonstration δ is the expectation of the distributionComponente Curricular::Educação Supe...
Abstract. In this paper, we analyze the returns of stocks com-prising the German stock index DAX wit...
This paper explores the theory behind the rich and robust family of α-stable distributions to estima...
STABLEPDF_FFT returns the stable pdf in the S0 parametrization with characteristic exponent ALPHA, s...
The simple algorithm used in this Demonstration can calculate the stable distribution function and i...
Stable distributions are extensively used to analyze earnings of financial assets, such as exchange ...
Title: Stable distributions and application to finance Author: Vadym Omelchenko Department: Departme...
A collection and description of functions to compute density, distribution and quantile function and...
This paper illustrates a procedure for fitting financial data with α-stable distributions. After usi...
Stable distributions are important family of parametric distributions widely used in signal processi...
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretic...
In this paper, first we introduce the stable distribution, stable process and theirs characteristics...
This textbook highlights the many practical uses of stable distributions, exploring the theory, nume...
2 We propose an estimate of the stability parameter α of a stable distri-bution through the idea of ...
Modeling and analysis of financial processes is an important and fast developing branch of computer ...
Closed forms are derived for the probability density function (PDF) of the stable distribution S α (...
Abstract. In this paper, we analyze the returns of stocks com-prising the German stock index DAX wit...
This paper explores the theory behind the rich and robust family of α-stable distributions to estima...
STABLEPDF_FFT returns the stable pdf in the S0 parametrization with characteristic exponent ALPHA, s...
The simple algorithm used in this Demonstration can calculate the stable distribution function and i...
Stable distributions are extensively used to analyze earnings of financial assets, such as exchange ...
Title: Stable distributions and application to finance Author: Vadym Omelchenko Department: Departme...
A collection and description of functions to compute density, distribution and quantile function and...
This paper illustrates a procedure for fitting financial data with α-stable distributions. After usi...
Stable distributions are important family of parametric distributions widely used in signal processi...
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretic...
In this paper, first we introduce the stable distribution, stable process and theirs characteristics...
This textbook highlights the many practical uses of stable distributions, exploring the theory, nume...
2 We propose an estimate of the stability parameter α of a stable distri-bution through the idea of ...
Modeling and analysis of financial processes is an important and fast developing branch of computer ...
Closed forms are derived for the probability density function (PDF) of the stable distribution S α (...
Abstract. In this paper, we analyze the returns of stocks com-prising the German stock index DAX wit...
This paper explores the theory behind the rich and robust family of α-stable distributions to estima...
STABLEPDF_FFT returns the stable pdf in the S0 parametrization with characteristic exponent ALPHA, s...