| Article ID: | iaor2004550 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 9/11 |
| Start Page Number: | 1113 |
| End Page Number: | 1122 |
| Publication Date: | Nov 2001 |
| Journal: | Mathematical and Computer Modelling |
| Authors: | Nolan J.P., Panorska A.K., McCulloch J.H. |
We present two new estimators of a stable special measure. One is based on the empirical characteristic function, and the other is based on one-dimensional projections of the data. We compare these estimators with the Rachev–Xin–Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed.