Indirect estimation of elliptical stable distributions
Lombardi, Marco Veredas, David
Lombardi, Marco
Veredas, David
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Publication Type
Journal article
Editor
Supervisor
Publication Year
2009
Journal
Computational Statistics and Data Analysis
Book
Publication Volume
53
Publication Issue
6
Publication Begin page
2309
Publication End page
2324
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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- 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.
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Keywords
Accounting & Finance