An exponentially weighted method-of-moments estimator for alpha-stable parameters is proposed to track time-varying tail heaviness and Hurst exponent in nonstationary financial time series.
Bollerslev, ``Generalized autoregressive conditional heteroskedasticity,'' Journal of econometrics, vol
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Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series
An exponentially weighted method-of-moments estimator for alpha-stable parameters is proposed to track time-varying tail heaviness and Hurst exponent in nonstationary financial time series.