dc.contributor.author	Kateregga, Michael
dc.contributor.author	Mataramvura, Sure
dc.contributor.author	Taylor, David
dc.date.accessioned	2017-09-13T07:13:03Z
dc.date.available	2017-05-02
dc.date.available	2017-09-13T07:13:03Z
dc.date.issued	2017-05-02
dc.description.abstract	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 estimation methods including the quantiles, logarithmic moments method, maximum likelihood (ML), and the empirical characteristics function (ECF) method. The contribution of the paper is two-fold: first, we discuss the above parametric approaches and investigate their performance through error analysis. Moreover, we argue that the ECF performs better than the ML over a wide range of shape parameter values, α including values closest to 0 and 2 and that the ECF has a better convergence rate than the ML. Secondly, we compare the t location-scale distribution to the general stable distribution and show that the former fails to capture skewness which might exist in the data. This is observed through applying the ECF to commodity futures log-returns data to obtain the skewness parameter.	en_ZA
dc.identifier.apacitation	Kateregga, M., Mataramvura, S., & Taylor, D. (2017). Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns. <i>Cogent Economics and Finance</i>, http://hdl.handle.net/11427/25147	en_ZA
dc.identifier.chicagocitation	Kateregga, Michael, Sure Mataramvura, and David Taylor "Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns." <i>Cogent Economics and Finance</i> (2017) http://hdl.handle.net/11427/25147	en_ZA
dc.identifier.citation	Kateregga, M., Mataramvura, S., Taylor, D. 2017-05-02. Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns. Cogent Economics and Finance.	en_ZA
dc.identifier.issn	2332-2039	en_ZA
dc.identifier.ris	TY - Journal Article AU - Kateregga, Michael AU - Mataramvura, Sure AU - Taylor, David AB - 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 estimation methods including the quantiles, logarithmic moments method, maximum likelihood (ML), and the empirical characteristics function (ECF) method. The contribution of the paper is two-fold: first, we discuss the above parametric approaches and investigate their performance through error analysis. Moreover, we argue that the ECF performs better than the ML over a wide range of shape parameter values, α including values closest to 0 and 2 and that the ECF has a better convergence rate than the ML. Secondly, we compare the t location-scale distribution to the general stable distribution and show that the former fails to capture skewness which might exist in the data. This is observed through applying the ECF to commodity futures log-returns data to obtain the skewness parameter. DA - 2017-05-02 DB - OpenUCT DP - University of Cape Town J1 - Cogent Economics and Finance LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 SM - 2332-2039 T1 - Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns TI - Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns UR - http://hdl.handle.net/11427/25147 ER -	en_ZA
dc.identifier.uri	http://hdl.handle.net/11427/25147
dc.identifier.vancouvercitation	Kateregga M, Mataramvura S, Taylor D. Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns. Cogent Economics and Finance. 2017; http://hdl.handle.net/11427/25147.	en_ZA
dc.language	eng	en_ZA
dc.publisher	Taylor and Francis	en_ZA
dc.publisher.department	Department of Finance and Tax	en_ZA
dc.publisher.faculty	Faculty of Commerce	en_ZA
dc.publisher.institution	University of Cape Town
dc.rights	Creative Commons Attribution 4.0 International (CC BY 4.0)	*
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/	en_ZA
dc.source	Cogent Economics and Finance	en_ZA
dc.source.uri	http://www.tandfonline.com/toc/oaef20/current
dc.title	Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns	en_ZA
dc.type	Journal Article	en_ZA
uct.type.filetype	Text
uct.type.filetype	Image
uct.type.publication	Research	en_ZA
uct.type.resource	Article	en_ZA

Parameter Estimation for Stable Distributions with Application to Commodity Futures Log-Returns

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