Estimation of stable distributions by indirect inference

被引：26

作者：

Garcia, Rene ^{[1
]}

Renault, Eric ^{[2
]}

Veredas, David ^{[3
]}

机构：

[1] EDHEC Business Sch, Lille, France

[2] Univ N Carolina, Chapel Hill, NC USA

[3] Univ Libre Bruxelles, ECARES, Solvay Brussels Sch Econ & Management, Brussels, Belgium

来源：

JOURNAL OF ECONOMETRICS | 2011年 / 161卷 / 02期

关键词：

Stable distribution; Indirect inference; Constrained indirect inference; Skewed-t distribution; PORTFOLIO SELECTION; INFORMATION; CONTINUUM; MOMENTS; MODELS; GARCH;

D O I：

10.1016/j.jeconom.2010.12.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show that this method delivers estimators with good properties in finite sample. We provide an empirical application to the distribution of jumps in the S&P 500 index returns. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：325 / 337

页数：13

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