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

Mathematics Subject Classification ID

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)

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Cites Work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 2173980 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A semi-parametric approach to risk management
• Coherent measures of risk
• Estimation of stable spectral measures
• MULTIVARIATE STABLE FUTURES PRICES
• Portfolio Analysis in a Stable Paretian Market
• Stable Paretian models in finance
• Tail dependence for elliptically contoured distributions

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 no real title available?)
• 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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