Parameter estimation for stable distributions with application to commodity futures log-returns
This paper explores the theory behind the rich and robust family of $ \alpha $-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation methods including the quantiles, logarithmic moments method, maximum likelihood (ML), and the empiric...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2017.1318813 |