{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,9]],"date-time":"2026-05-09T16:37:39Z","timestamp":1778344659018,"version":"3.51.4"},"reference-count":32,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2018,5,16]],"date-time":"2018-05-16T00:00:00Z","timestamp":1526428800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"European Community's Seventh Framework Programme","award":["FP7-PEOPLE-ITN-2008"],"award-info":[{"award-number":["FP7-PEOPLE-ITN-2008"]}]},{"name":"European Community's Seventh Framework Programme","award":["PITN-GA-2009-23798"],"award-info":[{"award-number":["PITN-GA-2009-23798"]}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2018,8]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>The nonnormal stable laws and Student <jats:italic>t<\/jats:italic> distributions are used to model the unconditional distribution of financial asset returns, as both models display heavy tails. The relevance of the two models is subject to debate because empirical estimates of the tail shape conditional on either model give conflicting signals. This stems from opposing bias terms. We exploit the biases to discriminate between the two distributions. A sign estimator for the second\u2010order scale parameter strengthens our results. Tail estimates based on asset return data match the bias induced by finite\u2010variance unconditional Student <jats:italic>t<\/jats:italic> data and the generalized autoregressive conditional heteroscedasticity process.<\/jats:p>","DOI":"10.1002\/jae.2628","type":"journal-article","created":{"date-parts":[[2018,5,17]],"date-time":"2018-05-17T02:44:03Z","timestamp":1526525043000},"page":"708-726","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Exploiting tail shape biases to discriminate between stable and student <i>t<\/i> alternatives"],"prefix":"10.1002","volume":"33","author":[{"given":"Pengfei","family":"Sun","sequence":"first","affiliation":[{"name":"Department of Economics, Erasmus School of Economics Erasmus University Rotterdam  Rotterdam The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Casper G.","family":"de Vries","sequence":"additional","affiliation":[{"name":"Department of Economics, Erasmus School of Economics Erasmus University Rotterdam  Rotterdam The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2018,5,16]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10687-009-0082-x"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/295634"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1515\/9781400830213"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_8"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(89)90076-8"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176346318"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2009.09.001"},{"key":"e_1_2_10_9_1","volume-title":"The theory of finance","author":"Fama E.","year":"1972"},{"key":"e_1_2_10_10_1","unstructured":"Feller W.(1971).An introduction to probability theory and its applications. (Vol. 2 2nd ed.).New York:John Wiley and Sons Inc."},{"key":"e_1_2_10_11_1","unstructured":"Ferreira A. &Vries C.(2004).Optimal confidence intervals for the tail index and high quantiles. (Technical report 04\u2010090\/2).Amsterdam Netherlands: Tinbergen Institute."},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1177005985"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/qmath\/38.1.45"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1978.tb02058.x"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176346723"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343247"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.019"},{"key":"e_1_2_10_18_1","volume-title":"Independent and stationary sequences of random variables","author":"Ibragimov I.","year":"1971"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v52.n6.2039"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02392040"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/00949659308811541"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/294632"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1997.10524689"},{"issue":"5","key":"e_1_2_10_24_1","doi-asserted-by":"crossref","first-page":"1427","DOI":"10.1214\/aos\/1015957401","article-title":"Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process","volume":"28","author":"Mikosch T.","year":"2000","journal-title":"Annals of Statistics"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610929808832156"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.21236\/ADA415451"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.3390\/econometrics4020025"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00184"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1028903376"},{"key":"e_1_2_10_30_1","first-page":"467","article-title":"Do stock returns follow a finite variance distribution?","volume":"2","author":"Shao Q.","year":"2001","journal-title":"Annals of Economics and Finance"},{"key":"e_1_2_10_31_1","doi-asserted-by":"crossref","unstructured":"Stoyanov S. Rachev S. Racheva\u2010Iotova B. &Fabozzi F.(2011).Fat\u2010tailed models for risk estimation. (Working Paper Series in Economics 30) Karlsruhe Institute of Technology Karlsruhe Germany.","DOI":"10.3905\/jpm.2011.37.2.107"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.08.005"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1080\/00949650212843"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2628","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2628","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2628","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2628","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T11:32:04Z","timestamp":1694345524000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2628"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,5,16]]},"references-count":32,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2018,8]]}},"alternative-id":["10.1002\/jae.2628"],"URL":"https:\/\/doi.org\/10.1002\/jae.2628","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,5,16]]},"assertion":[{"value":"2016-03-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-01-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-05-16","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}