Estimation of Stable-Law Parameters: A Comparative Study |
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| Authors: | Vedat Akgiray Christopher G Lamoureux |
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| Institution: | 1. Department of Finance , Clarkson University , Potsdam , NY , 13676;2. Department of Finance , Louisiana State University , Baton Rouge , LA , 70803 |
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| Abstract: | The stable distribution has many desirable properties and is applicable in many areas of scientific pursuit (e.g., the study of stock-return behavior). Despite this, little is known about the properties of the various extant estimation techniques for the parameters of the stable laws. This article compares the iterative regression technique with the latest version of the fractile technique, using both simulated and actual data. |
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| Keywords: | Bootstrap Robustness Simulation |
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