This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jaap Geluk () (Econometric Institute, Erasmus University Rotterdam)
Liang Peng (Center for Mathematics and its Applications, Australian National University, Canberra)
Casper G. de Vries () (Erasmus University Rotterdam)

Additional information is available for the following registered author(s):

Abstract

The paper characterizes first and second order tail behavior of convolutions of i.i.d. heavy tailed random variables with support on the real line. The result is applied to the problem of risk diversification in portfolio analysis and to the estimation of the parameter in a MA(1) model.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tinbergen.nl/discussionpapers/99088.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 99-088/2.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 18 Nov 1999
Date of revision:
Handle: RePEc:dgr:uvatin:19990088

Contact details of provider:
Web page: http://www.tinbergen.nl/

For technical questions regarding this item, or to correct its listing, contact: (Walther Schoonenberg).

Related research
Keywords:

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Somnath Datta & William McCormick, 1998. "Inference for the Tail Parameters of a Linear Process with Heavy Tail Innovations," Annals of the Institute of Statistical Mathematics, Springer, vol. 50(2), pages 337-359, June. [Downloadable!] (restricted)
  2. de Haan, L. & Pereira, T. Themido, 1999. "Estimating the index of a stable distribution," Statistics & Probability Letters, Elsevier, vol. 41(1), pages 39-55, January. [Downloadable!] (restricted)
    Other versions:
  3. Lii, Keh-Shin & Rosenblatt, Murray, 1992. "An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 272-299, November. [Downloadable!] (restricted)
  4. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  5. Vries, Caspar de & Danielsson, Jon, 1996. "Tail Index and Quantile Estimation with Very High Frequency Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich.
Full references

Statistics
Access and download statistics

Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.