Multivariate Stable Futures Prices
This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter "a" and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM-dollar and JY-dollar exchange rates data. Copyright 1995 Blackwell Publishers.
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Volume (Year): 5 (1995)
Issue (Month): 2 ()
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