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Indirect estimation of elliptical stable distributions

  • Lombardi, Marco J.
  • Veredas, David

An indirect estimation approach for elliptical stable distributions is presented. The auxiliary model is another elliptical distribution, the multivariate Student-t distribution. It has parameters that have a one-to-one relationship with those of the elliptical stable, making the proposed indirect approach particularly suitable. The finite sample behaviour of the estimators is analyzed using a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Pages: 2309-2324

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Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2309-2324
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  1. GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  8. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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  12. Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, 03.
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  16. 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).
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