Approximation of multidimensional stable densities
Journal of Multivariate Analysis
Generalized stable models for financial asset returns
Journal of Computational and Applied Mathematics
Mathematical and Computer Modelling: An International Journal
Operator geometric stable laws
Journal of Multivariate Analysis
Mathematical and Computer Modelling: An International Journal
Modeling Chinese stock returns with stable distribution
Mathematical and Computer Modelling: An International Journal
Hi-index | 0.98 |
We describe a class of multivariate geometric stable laws that can be used in modeling multivariate financial portfolios of securities. These heavy tailed distributions are stable with respect to geometric summation and accommodate the possibility of market crashes. We look at bivariate currency exchange rates data and show that its main features, peakedness and heavy tails, are very well captured by the geometric stable model.