Title of article :
Estimation of stable spectral measures
Author/Authors :
Nolan، نويسنده , , J.P. and Panorska، نويسنده , , A.K. and McCulloch، نويسنده , , J.H.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
We present two new estimators of a stable spectral measure. One is based on the empirical characteristic function, and the other is based on one-dimensional projections of 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.
Keywords :
Financial modeling , Estimation , Multivariate ?-stable distributions , Spectral measure
Journal title :
Mathematical and Computer Modelling
Journal title :
Mathematical and Computer Modelling