COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 567

"Characteristic Functions and the Tail Behavior of Probability Distributions"

Peter C.B. Phillips

1980

The theory of Fourier transforms of generalized functions is used to extract general formulas for the tail behavior of a probability distribution from the behavior of its characteristic function in the locality of the origin. The theory is applied to develop asymptotic formula for the tails of the stable distributions.

See CFP 622