Multivariate stable distributions and their applications for modelling cryptocurrency-returns
Applications
2018-10-24 v1 Statistical Finance
Abstract
In this paper we extend the known methodology for fitting stable distributions to the multivariate case and apply the suggested method to the modelling of daily cryptocurrency-return data. The investigated time period is cut into 10 non-overlapping sections, thus the changes can also be observed. We apply bootstrap tests for checking the models and compare our approach to the more traditional extreme-value and copula models.
Cite
@article{arxiv.1810.09521,
title = {Multivariate stable distributions and their applications for modelling cryptocurrency-returns},
author = {Szabolcs Majoros and András Zempléni},
journal= {arXiv preprint arXiv:1810.09521},
year = {2018}
}
Comments
29 pages, 17 figures