MULTIVARIATE STABLE FUTURES PRICES
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Cites work
- A bivariate stable characterization and domains of attraction
- Estimating a multidimensional extreme-value distribution
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- Functional central limit theorems for processes with positive drift and their inverses
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- Limit theorems for the ratio of the empirical distribution function to the true distribution function
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- On the variance of stock price distributions
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Cited in
(36)- Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Multivariate geometric stable distributions in financial applications.
- Test of association between multivariate stable vectors.
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- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Safety-first analysis and stable Paretian approach to portfolio choice theory
- Estimation of stable spectral measures
- Stable modeling of value at risk
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Estimating stable latent factor models by indirect inference
- Monte Carlo EM estimation for multivariate stable distributions
- Tail estimation of the stable index \(\alpha\)
- Spectral covariance and limit theorems for random fields with infinite variance
- Regularity theory for general stable operators
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- A tail estimator for the index of the stable paretian distribution∗
- VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
- Data analysis for heavy tailed multivariate samples
- Fed funds futures variance futures
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- Wavelet-based estimation for multivariate stable laws
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- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- Financial modeling with heavy-tailed stable distributions
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- On continuity of the Pearson statistic and sample quantiles
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Indirect estimation of elliptical stable distributions
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