This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter a and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM‐dollar and JY‐dollar exchange rates data.
|Number of pages
|Published - Apr 1995
- Pareto‐Lévy distribution
- multivariate stable distribution
- stable portfolio