Multivariate stable distributions and their applications for modelling cryptocurrency-returns

Szabolcs Majoros and Andr\'as Zempl\'eni

Papers from arXiv.org

Abstract: In this paper we extend the known methodology for fitting stable distributions to the multivariate case and apply the suggested method to the modelling of daily cryptocurrency-return data. The investigated time period is cut into 10 non-overlapping sections, thus the changes can also be observed. We apply bootstrap tests for checking the models and compare our approach to the more traditional extreme-value and copula models.

Date: 2018-10
New Economics Papers: this item is included in nep-ecm and nep-pay
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Citations: View citations in EconPapers (3)

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