Estimation for multivariate stable distributions with generalized empirical likelihood
DOI10.1016/J.JECONOM.2012.08.017zbMATH Open1443.62496OpenAlexW2045362450MaRDI QIDQ528142FDOQ528142
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002011
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characteristic functionestimating functiongeneralized empirical likelihoodmultivariate stable distributionCR discrepancy
Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Empirical Characteristic Function Estimation and Its Applications
- Regression-Type Estimation of the Parameters of Stable Laws
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- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- The method of simulated quantiles
- Empirical likelihood and general estimating equations
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- Empirical likelihood ratio confidence intervals for a single functional
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- Approximation of multidimensional stable densities
- Indirect estimation of elliptical stable distributions
- Numerical calculation of stable densities and distribution functions
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- MULTIVARIATE STABLE FUTURES PRICES
- Parameter Estimates for Symmetric Stable Distributions
- Maximum likelihood estimation of stable Paretian models.
- Simple consistent estimators of stable distribution parameters
- An iterative procedure for the estimation of the parameters of stable laws
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of stable spectral measures
- Portfolio management with stable distributions
- Monte Carlo EM estimation for multivariate stable distributions
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- CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"
Cited In (16)
- Some analytical results on bivariate stable distributions with an application in operational risk
- On the estimation of the parameters of multivariate stable distributions
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Monte Carlo EM estimation for multivariate stable distributions
- Estimating stable latent factor models by indirect inference
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- Bivariate sub-Gaussian model for stock index returns
- Observation-driven filtering of time-varying parameters using moment conditions
- \(U\)-statistic for multivariate stable distributions
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Estimation of the parameters of multivariate stable distributions
- Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS
- Indirect estimation of elliptical stable distributions
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
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