Estimation for multivariate stable distributions with generalized empirical likelihood
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Cites work
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- scientific article; zbMATH DE number 639817 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- An iterative procedure for the estimation of the parameters of stable laws
- Approximation of multidimensional stable densities
- CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"
- Empirical Characteristic Function Estimation and Its Applications
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of stable spectral measures
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Indirect estimation of elliptical stable distributions
- Inference for vast dimensional elliptical distributions
- MULTIVARIATE STABLE FUTURES PRICES
- Maximum likelihood estimation of stable Paretian models.
- Monte Carlo EM estimation for multivariate stable distributions
- Numerical calculation of stable densities and distribution functions
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Parameter Estimates for Symmetric Stable Distributions
- Portfolio management with stable distributions
- Regression-Type Estimation of the Parameters of Stable Laws
- Simple consistent estimators of stable distribution parameters
- The method of simulated quantiles
Cited in
(18)- \(U\)-statistic for multivariate stable distributions
- Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function
- An empirical likelihood approach for symmetric \(\alpha\)-stable processes
- On the estimation of the parameters of multivariate stable distributions
- Monte Carlo EM estimation for multivariate stable distributions
- The sparse method of simulated quantiles: An application to portfolio optimization
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Estimation of the parameters of multivariate stable distributions
- Indirect estimation of elliptical stable distributions
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- Bivariate sub-Gaussian model for stock index returns
- Estimating stable latent factor models by indirect inference
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Observation-driven filtering of time-varying parameters using moment conditions
- Some analytical results on bivariate stable distributions with an application in operational risk
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