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 | https://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.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.publisher | European University Institute | |
dc.relation.ispartofseries | EUI MWP | en |
dc.relation.ispartofseries | 2008/05 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
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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