MULTIVARIATE STABLE FUTURES PRICES

B. N. Cheng and S. T. Rachev

Mathematical Finance, 1995, vol. 5, issue 2, 133-153

Abstract: This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter a and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM‐dollar and JY‐dollar exchange rates data.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:5:y:1995:i:2:p:133-153

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