par Lombardi, Marco;Veredas, David 
Référence Computational statistics & data analysis, 53, 6, page (2309-2324)
Publication Publié, 2009-04
Référence Computational statistics & data analysis, 53, 6, page (2309-2324)
Publication Publié, 2009-04
Article révisé par les pairs
| Résumé : | 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. © 2008 Elsevier B.V. All rights reserved. |
