Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

In this paper, we consider the estimation of the tail indices of distributions in the domain of attraction of stable laws. We follow the approach of Meerschaert and Scheffler (1999), which requires exclusively the spectral decomposition of the uncentered sample moment matrix containing the moments of a collection of time series. The technique is applied successfully to ten major currencies, using daily data over the period 1996–2012.

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Year of publication:	2012
Authors:	Tsionas, Efthymios G.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 11, p. 1986-1989
Publisher:	Elsevier
Subject:	Multivariate stable distributions \| Tail dependence \| Principal directions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593937