43 citations · 43 across the 2 of their papers we have counts for
2 papers
econ.GN2017★ 43 cited
Parameter estimation for stable distributions with application to commodity futures log returns
Michael Kateregga, Sure Mataramvura, David Taylor
This paper explores the theory behind the rich and robust family of α-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter e…
q-fin.MF2016
Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
Eckhard Platen, David Taylor
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding l…