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Estimation of stable spectral measures

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posted on 2023-08-05, 11:43 authored by John Nolan, Anna K. Panorska, J. Huston McCulloch

We present two new estimators of a stable spectral measure. One is based on the empirical characteristic unction, the other is based on one dimensional projections o the data. We compare these estimators with the Rachev-Xin-Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed.

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Publisher

American University (Washington, D.C.); University of Tennessee at Chattanooga; Ohio State University

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http://hdl.handle.net/1961/auislandora:83737

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Keywords

Multivariate stable distributions Spectral measure Estimation Financial modeling

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