• 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