MULTIVARIATE STABLE FUTURES PRICES

DOI10.1111/j.1467-9965.1995.tb00106.xzbMath0862.62089OpenAlexW1970207640MaRDI QIDQ3126228

Benny N. Cheng, Svetlozar T. Rachev

Publication date: 28 May 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00106.x

zbMATH Keywords

spectral measuredomain of attractionassociationcovariationportfolio riskindex of stability parametermultivariate stable Pareto lawPareto-Levy distributionstable portfoliotail estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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