Exact tests and confidence sets for the tail coefficient of a-stable distributions /

• Main Author: Dufour, Jean-Marie
• Other Authors: Kurz-Kim, Jeong-Ryeol, 1959-
• Format: Book
• Language: English
• Published: Frankfurt am Main : Deutsche Bundesbank, 2003
• Series: Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 16/2003
• Subjects: METODO DE MONTECARLO; ANALISIS EMPIRICO; CREDITO RECIPROCO; RIESGO DE SOLVENCIA
• Online Access: http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2003/2003_10_08_dkp_16.pdf?__blob=publicationFile

Table of Contents:

• 1. Introduction
• 2. Estimation and test for the stability perameter: theory of the Monte Caqrlo method. Summary on a-stable distributions. Test statistic and test procedure. Statistical propoerty of the MC based estimator. Power function of the Monte Carlo method based test
• 3. An empirical application
• 4. Concluding remarks
• references.