Multivariate elliptically contoured stable distributions: theory and estimation
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References listed on IDEAS
- Byczkowski, T. & Nolan, J. P. & Rajput, B., 1993. "Approximation of Multidimensional Stable Densities," Journal of Multivariate Analysis, Elsevier, vol. 46(1), pages 13-31, July.
- Marco Lombardi & David Veredas, 2009. "Indirect inference of elliptical fat tailed distributions," ULB Institutional Repository 2013/136204, ULB -- Universite Libre de Bruxelles.
- Abdul-Hamid, Husein & Nolan, John P., 1998. "Multivariate Stable Densities as Functions of One Dimensional Projections," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 80-89, October.
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- John P. Nolan, 2016. "An R package for modeling and simulating generalized spherical and related distributions," Journal of Statistical Distributions and Applications, Springer, vol. 3(1), pages 1-11, December.
- Meintanis, Simos G. & Ngatchou-Wandji, Joseph & Taufer, Emanuele, 2015. "Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 171-192.
- Barone, P., 2016. "Bivariate one-sample optimal location test for spherical stable densities by Pade’ methods," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 189-199.
- Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
- repec:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-017-0544-4 is not listed on IDEAS
More about this item
KeywordsStable distribution; Elliptical contours; Heavy tails;
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