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Volume 13, Issue 4

Stochastic Models

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Stochastic Models, Volume 13, Issue 4 (1997)

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Communications in Statistics. Stochastic Models, Volume 13, Issue 4 (1997)

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Original Articles

Article

Large deviation probabilities for sums of heavy-tailed dependent random vectors

Adam Jakubowski, Alexander. V. Nagaev & Zaigraev Alexander

Pages: 647-660

Published online: 21 Mar 2007

AbstractforLarge deviation probabilities for sums of heavy-tailed dependent random vectors | References | PDF (461.9 KB)

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Article

Asymptotic inference for ar(1) processes with (non-normal) stable errors. III

Stable Ornstein-Uhlenbeck processes and integrals of stable O-U processes

Joop Mijnheer

Pages: 661-672

Published online: 21 Mar 2007

AbstractforAsymptotic inference for ar(1) processes with (non-normal) stable errors. III | References | PDF (335.6 KB)

27 Views
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Miscellany

Asymptotic behavior of the covariation and the codifference for arma models with stable innovations

Joanna Nowicka

Pages: 673-685

Published online: 21 Mar 2007

AbstractforAsymptotic behavior of the covariation and the codifference for arma models with stable innovations | References | PDF (397.8 KB)

65 Views
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Original Articles

Article

Data analysis for heavy tailed multivariate samples

John P. Nolan & Anna K. Panorska

Pages: 687-702

Published online: 21 Mar 2007

AbstractforData analysis for heavy tailed multivariate samples | References | PDF (620.7 KB)

94 Views
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Miscellany

Asymptotic behavior of hill's estimator for autoregressive data

Sidney Resnick & Cătălin Stărică

Pages: 703-721

Published online: 21 Mar 2007

AbstractforAsymptotic behavior of hill's estimator for autoregressive data | References | PDF (652.8 KB)

128 Views
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Original Articles

Article

Robustness of whittle-type estimators for time series with long-range dependence

Murad S. Taqqu & Vadim Teverovsky

Pages: 723-757

Published online: 21 Mar 2007

AbstractforRobustness of whittle-type estimators for time series with long-range dependence | References | PDF (1.2 MB)

111 Views
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Miscellany

Numerical calculation of stable densities and distribution functions

John P. Nolan

Pages: 759-774

Published online: 21 Mar 2007

AbstractforNumerical calculation of stable densities and distribution functions | References | PDF (517.7 KB)

1244 Views
416 CrossRef citations
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Original Articles

Article

Earthquake size distribution and earthquake insurance

Yan Y. Kagan

Pages: 775-797

Published online: 21 Mar 2007

AbstractforEarthquake size distribution and earthquake insurance | References | PDF (800.9 KB)

172 Views
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Article

Heavy-tailed modelling in insurance

T. Mikosch

Pages: 799-815

Published online: 21 Mar 2007

AbstractforHeavy-tailed modelling in insurance | References | PDF (546.3 KB)

202 Views
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Article

Option pricing bounds in an a α stable security market

A. W. Janicki, I. Popova, P. H. Ritchken & W. A. Woyczynski

Pages: 817-839

Published online: 21 Mar 2007

AbstractforOption pricing bounds in an a α stable security market | References | PDF (770.1 KB)

45 Views
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Article

Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances

Svetlozar T. Rachev, Jeong-Ryeol Kim & Stefan Mittnik

Pages: 841-866

Published online: 21 Mar 2007

AbstractforEconometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances | References | PDF (688.6 KB)

47 Views
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Article

Option pricing proposals under the generalized hyperbolic model

Aleksander Rejman, Weron Aleksander & Rafal Weron

Pages: 867-885

Published online: 21 Mar 2007

AbstractforOption pricing proposals under the generalized hyperbolic model | References | PDF (596.7 KB)

68 Views
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Article

The normal inverse gaussian lévy process: simulation and approximation

Tina Hviid Rydberg

Pages: 887-910

Published online: 21 Mar 2007

AbstractforThe normal inverse gaussian lévy process: simulation and approximation | References | PDF (693.1 KB)

1705 Views
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Miscellany

Editorial board

Page: ebi

Published online: 21 Mar 2007

CitationforEditorial board | PDF (63.7 KB)

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Stochastic Models (Vol.13, Iss.4, 1997)

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