Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data

• Simos G. Meintanis ^[1] ; John P. Nolan ^[2] ; Charl Pretorius ^[3]
  1. [1] National and Kapodistrian University of Athens

     National and Kapodistrian University of Athens

     Dimos Athens, Grecia

     
  2. [2] American University

     American University

     Estados Unidos

     
  3. [3] North-West University

     North-West University

     Tlokwe City Council, Sudáfrica

     

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• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 33, Nº. 2, 2024, págs. 517-539
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • We consider goodness-of-fit methods for multivariate symmetric and asymmetric stable Paretian random vectors in arbitrary dimension. The methods are based on the empirical characteristic function and are implemented both in the i.i.d. context as well as for innovations in GARCH models. Asymptotic properties of the proposed procedures are discussed, while the finite-sample properties are illustrated by means of an extensive Monte Carlo study. The procedures are also applied to real data from the financial markets.