Indirect estimation of elliptical stable distributions

Authors:
Marco J. Lombardi;David Veredas
Affiliations:
Dipartimento di Statistica e Matematica, Applicata all'Economia, Universita degli studi di Pisa, Italy;ECARES, Université Libre de Bruxelles, 50 Ave F.D. Roosevelt CP114, B1050 Brussels, Belgium
Venue:
Computational Statistics & Data Analysis
Year:
2009

Citing 2
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Multivariate elliptically contoured stable distributions: theory and estimation

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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.