Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

DOI10.1016/J.SPL.2012.06.030zbMath1312.62116OpenAlexW1986916355MaRDI QIDQ712533

Efthymios G. Tsionas

Publication date: 17 October 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.06.030

zbMATH Keywords

tail dependenceprincipal directionsmultivariate stable distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ On \(1/f\) noise

Uses Software

• SYMSTB

Cites Work

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• A simple general approach to inference about the tail of a distribution
• Statistical methods in finance
• Estimation of stable spectral measures
• On nonparametric estimation of the Poisson spectral measure of a stable law
• Moment estimator for random vectors with heavy tails
• MULTIVARIATE STABLE FUTURES PRICES
• Calculation of multidimensional stable densities

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