search query: @indexterm Heteroscedasticity / total: 30
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| Author: | Deo, R.S. |
| Title: | On testing the adequacy of stable processes under conditional heteroscedasticity |
| Journal: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 257-270 |
| Index terms: | HETEROSCEDASTICITY MONTE CARLO TECHNIQUE |
| Freeterms: | STABLE PROCESSES TAIL INDEX |
| Language: | eng |
| Abstract: | The authors consider a recently proposed method of estimating the tail index and testing the goodness-of-fit of dependent stable processes. Through Monte Carlo simulations, they evaluate the ability of the procedure to distinguish between stable and non-stable processes in the presence of non-linear dependence and to estimate the tail index of the distribution. |
SCIMA