Hot answers tagged theory
Some of the used heavy-tail distributions are: Log-Cauchy and Log-Gamma Lévy Burr and Weibull Mixed normal Here two papers that cover some of them and others: http://ect-pigorsch.mee.uni-bonn.de/data/research/papers/Financial_Economics,_Fat-tailed_Distributions.pdf http://www.rff.org/RFF/Documents/RFF-DP-11-19-REV.pdf
In the academic literature it is extremely widely applied in the last 20 years. I would estimate maybe 200 empirical papers, or more. For example a common finding is that higher frequency (daily) wavelet correlations have been high since 2007, attributable either to increasing financial interation or the financial crisis. It is also popular to estimate the ...
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