Title of article
Multivariate geometric stable distributions in financial applications
Author/Authors
Kozubowski، نويسنده , , T.J. and Panorska، نويسنده , , A.K.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
10
From page
83
To page
92
Abstract
We describe a class of multivariate geometric stable laws that can be used in modeling multivariate financial portfolios of securities. These heavy tailed distributions are stable with respect to geometric summation and accommodate the possibility of market crashes. We look at bivariate currency exchange rates data and show that its main features, peakedness and heavy tails, are very well captured by the geometric stable model.
Keywords
Heavy-tail modeling , Financial modeling , Random sum , Stable law
Journal title
Mathematical and Computer Modelling
Serial Year
1999
Journal title
Mathematical and Computer Modelling
Record number
1591372
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