Test of association between multivariate stable vectors

S. Mittnik, S. T. Rachev, L. Rüschendorf

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

Based on observations of d-dimensional random vectors in the domain of attraction of a stable distribution with (multi-)index α = (α1,···, α(d)), an estimator for the dependence function of the α(i)-stable variables is constructed. The estimator utilizes the α-tail-estimator and an estimator of the spectral measure of the α-stable law. This estimator gives rise to a test of association of the stable components and various quantitative measures of association.

Original languageEnglish
Pages (from-to)181-195
Number of pages15
JournalMathematical and Computer Modelling
Volume29
Issue number10-12
DOIs
StatePublished - 1999

Keywords

  • Asset-return distribution
  • Dependence function
  • Financial modeling
  • Multivariate stable distribution

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