Statistical Issues in Modeling Multivariate Stable Portfolios-Reference-Cited by-同舟云学术

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Statistical Issues in Modeling Multivariate Stable Portfolios

Published:2003 Issue: Volume: Page:131-167
ISSN:
Container-title:Handbook of Heavy Tailed Distributions in Finance
language:
Short-container-title:

Author:

Kozubowski Tomasz J.,Panorska Anna K.,Rachev Svetlozar T.

Publisher

Elsevier

Reference138 articles.

1. Shifted Hill's estimator for heavy tails;Aban;Communications in Statistics. Simulation and Computation,2001

2. Multivariate stable densities as functions of one dimensional projections;Abdul-Hamid;Journal of Multivariate Analysis,1998

3. Estimation of stable law parameters: A comparative study;Akgiray;Journal of Business and Economical Statistics,1989

4. Positive dependence in multivariate distributions;Alam;Communications in Statistics,1982

5. Parameter estimation for symmetric stable distribution;Arad;Econometric Reviews,1980

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4. Asymptotics of Alternative Interdependence Measures for Bivariate $$\alpha -$$Stable Autoregressive Model of Order 1;Applied Condition Monitoring;2021-07-22

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