Abstract

http://ssrn.com/abstract=1561185
 
 

References (44)



 
 

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The Method of Simulated Quantiles


Yves Dominicy


Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES

David Veredas


Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES

May 19, 2010


Abstract:     
We introduce an inference method based on quantiles matching, which is useful for situations where the density function does not have a closed form - but it is simple to simulate - and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with sample quantiles, which depend on observations. Since the theoretical quantiles may not be available analytically, the optimization is based on simulations. We illustrate the method with the estimation of alpha-stable distributions. A thorough Monte Carlo study and an illustration to 22 financial indexes show the usefulness of the method.

Number of Pages in PDF File: 31

Keywords: Quantiles, simulated methods, alpha-stable distribution, fat tails

JEL Classification: C32, G14, E44

working papers series


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Date posted: February 28, 2010 ; Last revised: July 1, 2010

Suggested Citation

Dominicy, Yves and Veredas, David, The Method of Simulated Quantiles (May 19, 2010). Available at SSRN: http://ssrn.com/abstract=1561185 or http://dx.doi.org/10.2139/ssrn.1561185

Contact Information

Yves Dominicy
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES ( email )
19 Av Franklin Roosevelt
1050
Brussels
Belgium
David Veredas (Contact Author)
Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES ( email )
Av. Franklin D Roosevelt 50
CP114
B-1050 Brussels, 1050
Belgium
+3226504218 (Phone)
+3226504275 (Fax)
HOME PAGE: http://www.ecares.org/veredas.html
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