Indirect Estimation of Elliptical Stable Distributions

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dc.contributor.author LOMBARDI, Marco J.
dc.contributor.author VEREDAS, David
dc.date.accessioned 2008-02-19T11:16:52Z
dc.date.available 2008-02-19T11:16:52Z
dc.date.issued 2008
dc.identifier.issn 1830-7728
dc.identifier.uri http://hdl.handle.net/1814/8122
dc.description.abstract 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. en
dc.language.iso en en
dc.publisher European University Institute
dc.relation.ispartofseries EUI MWP en
dc.relation.ispartofseries 2008/05 en
dc.subject Stable en
dc.subject elliptical en
dc.subject high dimension en
dc.subject multivariate en
dc.subject indirect inference en
dc.subject C13 en
dc.subject C15 en
dc.subject G11 en
dc.title Indirect Estimation of Elliptical Stable Distributions en
dc.type Working Paper en
dc.neeo.contributor LOMBARDI|Marco J.|aut|
dc.neeo.contributor VEREDAS|David|aut|
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