Estimating stable latent factor models by indirect inference
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discrete spectral measuresGARCH modelsindirect inferencelatent factor modelsmultivariate Student's \(t\) distributionsymmetric multivariate \(\alpha\)-stable distribution
Infinitely divisible distributions; stable distributions (60E07) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)
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Cites work
- A Method for Simulating Stable Random Variables
- A method for simulating stable random vectors
- A unified beta pricing theory
- Computing the probability density function of the stable Paretian distribution
- Constrained Indirect Estimation
- Data analysis for heavy tailed multivariate samples
- Determining the Number of Factors in Approximate Factor Models
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Estimation of stable distributions by indirect inference
- Estimation of stable spectral measures
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
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- scientific article; zbMATH DE number 903862 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Indirect estimation of elliptical stable distributions
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Indirect Estimation of α-Stable Distributions and Processes
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Mathematical properties of the multivariate \(t\) distribution
- Modeling asset returns with alternative stable distributions*
- Multivariate skewt-distribution
- MULTIVARIATE STABLE FUTURES PRICES
- Multivariate T-Distributions and Their Applications
- Mutual fund separation in financial theory - the separating distributions
- Numerical calculation of stable densities and distribution functions
- Portfolio management with stable distributions
- Portfolio optimization when risk factors are conditionally varying and heavy tailed
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
- Stable GARCH models for financial time series
- Stable Paretian models in finance
- Stationarity of stable power-GARCH processes.
- The method of simulated quantiles
Cited in
(11)- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Robust factor number specification for large-dimensional elliptical factor model
- Robust estimation of the number of factors for the pair-elliptical factor models
- Indirect inference for locally stationary ARMA processes with stable innovations
- Estimation of stable distributions by indirect inference
- Mining the factor zoo: estimation of latent factor models with sufficient proxies
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Observation-driven filtering of time-varying parameters using moment conditions
- Sequential estimation of multivariate factor stochastic volatility models
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Indirect estimation of elliptical stable distributions
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