Multivariate Stable Futures Prices
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References listed on IDEAS
- Einmahl, J.H.J., 1987. "Multivariate empirical processes," Other publications TiSEM 4d74fa6b-5281-48ea-aa4d-5, Tilburg University, School of Economics and Management.
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- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
- Tsionas, Mike G., 2016. "Bayesian analysis of multivariate stable distributions using one-dimensional projections," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 185-193.
- Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.
- Ravishanker, Nalini & Qiou, Zuqiang, 1999. "Monte Carlo EM estimation for multivariate stable distributions," Statistics & Probability Letters, Elsevier, vol. 45(4), pages 335-340, December.
- Tsionas, Efthymios G., 2012. "Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1986-1989.
- Pivato, Marcus & Seco, Luis, 2003. "Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 219-240, November.
- Damarackas, Julius & Paulauskas, Vygantas, 2017. "Spectral covariance and limit theorems for random fields with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 156-175.
- Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
- Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
- Lombardi, Marco J. & Veredas, David, 2009.
"Indirect estimation of elliptical stable distributions,"
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- LOMBARDI, Marco & VEREDAS, David, 2007. "Indirect estimation of elliptical stable distributions," CORE Discussion Papers 2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hill, Jonathan B., 2010.
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- Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 24 Mar 2006.
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