Title: Alternative multivariate stable distributions and their applications to financial modeling
Abstract:It is commonly accepted that the distribution of returns on many financial assets is nonnormal. Mandelbrot [5] and Fama [2] proposed the α-stable distribution for modeling stock returns. In [9] we fin...It is commonly accepted that the distribution of returns on many financial assets is nonnormal. Mandelbrot [5] and Fama [2] proposed the α-stable distribution for modeling stock returns. In [9] we find that the geometric summation scheme provides a better model for univariate stock index data than various stable alternatives, including the α-stable model. Here we extend the geometric summation model to multivariate settings which allows us to model portfolios of financial assets.Read More
Publication Year: 1991
Publication Date: 1991-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
Access and Citation
Cited By Count: 57
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