ABSTRACT
In particular, stable distributions are currently en vogue again for risk valuation, asset and option pricing and portfolio management, long after having been in fashion for a short-lived period in the 1960s. They provide more realistic financial risk profiles, in particular in the high frequency antipersistent FX markets, where excess kurtosis is found, but also in the persistent stock markets (Hsu et al., 1974; Mittnik and Rachev, 1993a,b; Chobanov et al., 1996; McCulloch, 1996; Cont et al., 1997; Gopikrishnan et al., 1998; Müller et al., 1998; Los, 2000).
