Indirect Estimation of Elliptical Stable Distributions

CORE Discussion Paper No. 2007/18

28 Pages Posted: 16 Aug 2007

See all articles by Marco J. Lombardi

Marco J. Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department

David Veredas

Vlerick Business School

Date Written: February 2007

Abstract

We present an indirect estimation approach for elliptical stable istributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach especially suitable. Standard asymptotic properties are also shown and we analyze the finite sample behavior of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.

Keywords: Stable, elliptical, high dimension, multivariate, Indirect Inference

JEL Classification: C13, C15, G11

Suggested Citation

Lombardi, Marco Jacopo and Veredas, David, Indirect Estimation of Elliptical Stable Distributions (February 2007). CORE Discussion Paper No. 2007/18, Available at SSRN: https://ssrn.com/abstract=1006749 or http://dx.doi.org/10.2139/ssrn.1006749

Marco Jacopo Lombardi (Contact Author)

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
+41612809492 (Phone)

David Veredas

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

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