Multi-tail generalized elliptical distributions for asset returns

DOI10.1111/J.1368-423X.2009.00290.XzbMath1231.91488OpenAlexW2014459517MaRDI QIDQ3161678

Sebastian Kring, Michele Leonardo Bianchi, Frank J. Fabozzi, Markus Höchstötter, Svetlozar T. Rachev

Publication date: 15 October 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00290.x

zbMATH Keywords

likelihood ratio testrisk management\(t\)-distributions\(\alpha \)-stable distributionsgeneralized elliptical distributionsvarying-tail parameter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ A generalization of Tyler's M-estimators to the case of incomplete data ⋮ Asymptotic distributions of robust shape matrices and scales ⋮ CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

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• On the Parametrization of the Afocal Stable Distributions
• Portfolio Analysis in a Stable Paretian Market

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