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MULTIVARIATE STABLE FUTURES PRICES
Author(s) -
Cheng B. N.,
Rachev S. T.
Publication year - 1995
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1995.tb00106.x
Subject(s) - multivariate statistics , econometrics , futures contract , estimator , portfolio , stability (learning theory) , economics , liberian dollar , index (typography) , measure (data warehouse) , mathematics , statistics , computer science , financial economics , finance , database , machine learning , world wide web
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.