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dc.contributor.authorLOMBARDI, Marco J.
dc.contributor.authorVEREDAS, David
dc.date.accessioned2008-02-19T11:16:52Z
dc.date.available2008-02-19T11:16:52Z
dc.date.issued2008
dc.identifier.issn1830-7728
dc.identifier.urihttp://hdl.handle.net/1814/8122
dc.description.abstractWe 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.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI MWPen
dc.relation.ispartofseries2008/05en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectStableen
dc.subjectellipticalen
dc.subjecthigh dimensionen
dc.subjectmultivariateen
dc.subjectindirect inferenceen
dc.subjectC13en
dc.subjectC15en
dc.subjectG11en
dc.titleIndirect Estimation of Elliptical Stable Distributionsen
dc.typeWorking Paperen
dc.neeo.contributorLOMBARDI|Marco J.|aut|
dc.neeo.contributorVEREDAS|David|aut|
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