期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：We present an indirect estimation approach for elliptical stable distributions
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.
关键词：stable, elliptical, high dimension, multivariate, indirect inference.
