Multivariate stable distributions and their applications for modelling cryptocurrency-returns
classification
📊 stat.AP
q-fin.ST
keywords
applydistributionsmodellingmodelsmultivariatestableapplicationsapproach
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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.
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