Stable Distributions

1 Stable distributions

Figure 1.8: Stable (cyan) and Gaussian (dashed red) fits to the JPY/USD ex-
change rate returns (black circles) empirical cdf from the period
December 1, 1978 - January 31, 1991. Right panel is a magnifica-
tion of the left tail fit on a double logarithmic scale. The extreme
returns are largely overestimated by the stable law.

ST STFstab08.xpl

Stable, Gaussian, and empirical left tails

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