Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
AbstractIn this paper, we consider the estimation of the tail indices of distributions in the domain of attraction of stable laws. We follow the approach of Meerschaert and Scheffler (1999), which requires exclusively the spectral decomposition of the uncentered sample moment matrix containing the moments of a collection of time series. The technique is applied successfully to ten major currencies, using daily data over the period 1996–2012.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 11 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- B. N. Cheng & S. T. Rachev, 1995. "Multivariate Stable Futures Prices," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 133-153.
- repec:att:wimass:9208 is not listed on IDEAS
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- Meerschaert, Mark M. & Scheffler, Hans-Peter, 1999. "Moment Estimator for Random Vectors with Heavy Tails," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 145-159, October.
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