Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

Mike Tsionas

Statistics & Probability Letters, 2012, vol. 82, issue 11, 1986-1989

Abstract: In this paper, we consider the estimation of the tail indices of distributions in the domain of attraction of stable laws. We follow the approach of Meerschaert and Scheffler (1999), which requires exclusively the spectral decomposition of the uncentered sample moment matrix containing the moments of a collection of time series. The technique is applied successfully to ten major currencies, using daily data over the period 1996–2012.

Keywords: Multivariate stable distributions; Tail dependence; Principal directions (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.06.030

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