Indirect estimation of elliptical stable distributions

Marco Lombardi and David Veredas

Computational Statistics & Data Analysis, 2009, vol. 53, issue 6, 2309-2324

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.

Date: 2009
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Citations: View citations in EconPapers (13)

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Working Paper: Indirect estimation of elliptical stable distributions (2007)
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