Estimation for multivariate stable distributions with generalized empirical likelihood
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DOI: 10.1016/j.jeconom.2012.08.017
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Citations
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Cited by:
- Tsionas, Mike G., 2016. "Bayesian analysis of multivariate stable distributions using one-dimensional projections," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 185-193.
- Mohammad Mohammadi & Adel Mohammadpour & Hiroaki Ogata, 2015. "On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 549-561, July.
- Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017. "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 628-637.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- 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.
- Audrius Kabašinskas & Leonidas Sakalauskas & Ingrida Vaičiulytė, 2021. "An Analytical EM Algorithm for Sub-Gaussian Vectors," Mathematics, MDPI, vol. 9(9), pages 1-20, April.
- Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
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More about this item
Keywords
Characteristic function; CR discrepancy; Estimating function; Generalized empirical likelihood; Multivariate stable distribution;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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