Indirect estimation of elliptical stable distributions

Marco Lombardi and David Veredas

No 2007018, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach especially suitable.Standard asymptotic properties are also shown and we analyze the finite sample behavior of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.

Keywords: stable; elliptical; high dimension; multivariate; indirect inference (search for similar items in EconPapers)
JEL-codes: C13 C15 G11 (search for similar items in EconPapers)
Date: 2007-03-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Indirect estimation of elliptical stable distributions (2009)
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