Indirect estimation of elliptical stable distributions

DOI10.1016/j.csda.2008.04.035zbMath1453.62144OpenAlexW3125251212MaRDI QIDQ961425

David Veredas, Marco J. Lombardi

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/8122

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood ⋮ Testing conditional asymmetry: a residual-based approach ⋮ Localized level crossing random walk test robust to the presence of structural breaks ⋮ The sparse method of simulated quantiles: An application to portfolio optimization ⋮ Efficient inference about the tail weight in multivariate Student \(t\) distributions ⋮ Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Optimal tests for elliptical symmetry: specified and unspecified location ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ Estimating stable latent factor models by indirect inference ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ Stable mixture GARCH models ⋮ Indirect estimation of elliptical stable distributions ⋮ Inference for vast dimensional elliptical distributions ⋮ Multivariate elliptically contoured stable distributions: theory and estimation ⋮ Modeling fat tails in stock returns: a multivariate stable-GARCH approach ⋮ On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions

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