Indirect Estimation of Elliptical Stable Distributions

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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