Multivariate geometric stable distributions in financial applications

Authors:
T. J. Kozubowski;A. K. Panorska
Affiliations:
Department of Mathematics The University of Tennessee at Chattanooga Chattanooga, TN 37403, U.S.A.;Department of Mathematics The University of Tennessee at Chattanooga Chattanooga, TN 37403, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1999

Citing 3
Cited 3

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Operator geometric stable laws

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Modeling Chinese stock returns with stable distribution

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Abstract

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.