Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
A new method is developed for estimating the spectral measure of a multivariate stable probability measure, by representing the measure as a sum of spherical harmonics.
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Volume (Year): 87 (2003)
Issue (Month): 2 (November)
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References listed on IDEAS
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- Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
- Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 107-122, June.
- Press, S. J., 1972. "Multivariate stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 2(4), pages 444-462, December.
- Bawa, Vijay S & Elton, Edwin J & Gruber, Martin J, 1979. "Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets," Journal of Finance, American Finance Association, vol. 34(4), pages 1041-47, September.
- Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420.
- B. N. Cheng & S. T. Rachev, 1995. "Multivariate Stable Futures Prices," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 133-153.
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