Publication

Indirect estimation of elliptical stable distributions

Lombardi, Marco J
; 
Veredas, David
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Publication Type
Journal article
Editor
Supervisor
Publication Year
2009-04
Journal
Computational Statistics & Data Analysis
Book
Publication Volume
53
Publication Issue
6
Publication Begin page
2309
Publication End page
2324
Publication Number of pages
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Articles
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Abstract
An indirect estimation approach for elliptical stable distributions is presented. The auxiliary model is another elliptical distribution, the multivariate Student-t distribution. It has parameters that have a one-to-one relationship with those of the elliptical stable, making the proposed indirect approach particularly suitable. The finite sample behaviour of the estimators is analyzed using a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.
Research Projects
Organizational Units
Journal Issue
Keywords
49 Mathematical Sciences, 38 Economics, 4905 Statistics
Citation
Knowledge Domain/Industry
Accounting & Finance
DOI
https://doi.org/10.1016/j.csda.2008.04.035
URI
http://hdl.handle.net/20.500.12127/5244
Other links
https://doi.org/10.1016/j.csda.2008.04.035
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