Test of association between multivariate stable vectors

S. Mittnik; S. T. Rachev; L. Rüschendorf

doi:10.1016/S0895-7177(99)00101-6

Test of association between multivariate stable vectors

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	181-195
Number of pages	15
Journal	Mathematical and Computer Modelling
Volume	29
Issue number	10-12
DOIs	https://doi.org/10.1016/S0895-7177(99)00101-6
State	Published - 1999

Keywords

Asset-return distribution
Dependence function
Financial modeling
Multivariate stable distribution

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10.1016/S0895-7177(99)00101-6

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title = "Test of association between multivariate stable vectors",

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.",

keywords = "Asset-return distribution, Dependence function, Financial modeling, Multivariate stable distribution",

author = "S. Mittnik and Rachev, {S. T.} and L. R{\"u}schendorf",

note = "Funding Information: The research of S. Mittnik was supported by the Deutsche Forschungsgemeinschaft. That of S. T. Rachev was partially supported by Alexander-van-Humboldt award during his visits at the University of Freiburg and the University of Kiel. 1W e refer to such a portfolio as the single-stable-index portfolio.",

year = "1999",

doi = "10.1016/S0895-7177(99)00101-6",

language = "English",

volume = "29",

pages = "181--195",

journal = "Mathematical and Computer Modelling",

issn = "0895-7177",

number = "10-12",

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TY - JOUR

T1 - Test of association between multivariate stable vectors

AU - Mittnik, S.

AU - Rachev, S. T.

AU - Rüschendorf, L.

N1 - Funding Information: The research of S. Mittnik was supported by the Deutsche Forschungsgemeinschaft. That of S. T. Rachev was partially supported by Alexander-van-Humboldt award during his visits at the University of Freiburg and the University of Kiel. 1W e refer to such a portfolio as the single-stable-index portfolio.

PY - 1999

Y1 - 1999

N2 - 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.

AB - 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.

KW - Asset-return distribution

KW - Dependence function

KW - Financial modeling

KW - Multivariate stable distribution

UR - http://www.scopus.com/inward/record.url?scp=0033133946&partnerID=8YFLogxK

U2 - 10.1016/S0895-7177(99)00101-6

DO - 10.1016/S0895-7177(99)00101-6

M3 - Article

AN - SCOPUS:0033133946

SN - 0895-7177

VL - 29

SP - 181

EP - 195

JO - Mathematical and Computer Modelling

JF - Mathematical and Computer Modelling

IS - 10-12

ER -

Test of association between multivariate stable vectors

Abstract

Keywords

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