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.
|Number of pages||15|
|Journal||Mathematical and Computer Modelling|
|State||Published - 1999|
- Asset-return distribution
- Dependence function
- Financial modeling
- Multivariate stable distribution