Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
DOI10.1007/978-3-7908-2050-8_6zbMATH Open1154.91601OpenAlexW195191549MaRDI QIDQ3606097FDOQ3606097
Authors: Sebastian Kring, Markus Höchstötter, Frank J. Fabozzi, Svetlozar T. Rachev 
Publication date: 26 February 2009
Published in: Contributions to Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_6
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory of statistical distributions (62E10)
Cites Work
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- MULTIVARIATE STABLE FUTURES PRICES
- Portfolio Analysis in a Stable Paretian Market
- Estimation of stable spectral measures
- A semi-parametric approach to risk management
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Cited In (14)
- On the impact of semidefinite positive correlation measures in portfolio theory
- \(\alpha\)-stable random vectors with time varying spectral measure and applications to financial time series analysis.
- Gaussian copula of stable random vectors and application
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Dimension-wise scaled normal mixtures with application to finance and biometry
- Bivariate sub-Gaussian model for stock index returns
- Title not available (Why is that?)
- Asymptotic multivariate dominance: a financial application
- The multivariate tail-inflated normal distribution and its application in finance
- Principal component analysis for α-stable vectors
- Wavelet-based estimation for multivariate stable laws
- Cross-codifference for bidimensional VAR(1) time series with infinite variance
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