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  • Search: subject:"Symmetric Multivariate α-stable Distribution"
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Year of publication
Subject
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Discrete Spectral Measures 1 Factor Models 1 GARCH Models 1 Indirect Inference 1 Multivariate Student’s t Distribution 1 Symmetric Multivariate α-stable Distribution 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Calzolari, Giorgio 1 Halbleib, Roxana 1
Institution
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Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1
Published in...
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Working Paper Series of the Department of Economics, University of Konstanz 1
Source
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RePEc 1
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Estimating Stable Factor Models By Indirect Inference
Calzolari, Giorgio; Halbleib, Roxana - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014
Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under...
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