ISSN:
1572-9974
Keywords:
estimation of bivariate stable spectral representation
;
projection method
;
foreign exchange rates
;
Kanter projection coefficient
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Economics
Notes:
Abstract A method of estimating the spectral representation of a generalized bivariatestable distribution is presented, based on a series of maximum likelihood (ML)estimates of the stable parameters of univariate projections of the data. Thecorresponding stable spectral density is obtained by solving a quadraticprogram. The proposed method avoids the often arduous task of computing themultivariate stable density, relying instead on the standard univariate stabledensity. The paper applies this projection procedure, under the simplifyingassumption of symmetry, to simulated data as well as to foreign exchangereturn data, with favorable results. Kanter projection coefficients governingconditional expectations are computed from the estimated spectral density. For the simulated data these compare well to their known true values.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1008797318867
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