Indirect Estimation of Elliptical Stable Distributions
Title: Indirect Estimation of Elliptical Stable Distributions
Publisher: European University Institute
Series/Number: EUI MWP; 2008/05
We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate Student-t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach particularly suitable. We analyze the finite sample behaviour of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.
Subject: Stable; elliptical; high dimension; multivariate; indirect inference; C13; C15; G11
Type of Access: openAccess