Statistical issues in modeling multivariate stable portfolios
Tomasz J. Kozubowski University of Nevada, Reno
Anna K. Panorska University of Nevada, Reno
Svetlozar T. Racheva,b rachev@lsoe-4.wiwi.uni-karlsruhe.de a Department of Statistics and Applied Probability, University of California, Santa Barbara, USAb Institute of Statistics and Mathematical Economics, University of Karlsruhe, Germany
Abstract
Paretian stable distributions have had a relatively successful career in modeling of financial data. We discuss statistical issues common in modeling multivariate portfolios with focus on the estimation of the spectral measure that is important for estimation of the risk and dependence structure of a portfolio. We also brieIiy discuss ...
Get Handbook of Heavy Tailed Distributions in Finance now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
