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Erschienen in:
1991 | OriginalPaper | Buchkapitel
Alternative multivariate stable distributions and their applications to financial modeling
verfasst von : Stefan Mittnik, Svetlozar T. Rachev
Erschienen in: Stable Processes and Related Topics
Verlag: Birkhäuser Boston
Enthalten in: Professional Book Archive
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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.