Abstract
Since the early 1960s, there have been a good number of papers related to heavy tail distributions. These papers support the view that the heavy tail property is a stylized fact about financial time series. Stable distributions have infinite variance, a property which is not found in empirical samples where empirical variance does not grow with the size of the sample. As an example of the application of fractional calculus, by extending diffusion equations to fractional order, a connection between stable and tempered stable distribution with fractional calculus can be made.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Fractional Calculus and Fractional Processes with Applications to Financial Economics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
