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Analysing and Simulating Multivariate Stable Distributions

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Hans Gmasz

on 15 November 2011

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Transcript of Analysing and Simulating Multivariate Stable Distributions

2591 days

frequencies in
the centered
confidence intervals:
98%-level: 99.5%
80%-level: 76.9%
50%-level: 46.4% Diffuse Start with a
random grid (Paul Lévy, 1925) 1 2 3 4 1 2 5 6 Problem in higher
dimensions: How to construct a
good spherical grid? Diffuse according
to potential energy 1000 points 10 diffusions Diffuse a few times Consider the following portfolio:
1 share of voestalpine
1 share of RHI
1 share of Wienerberger A 3-dimensional example (joint japes with Hannes Kazianka) Hans Gmasz hans.gmasz@oenb.at Meielisalp, 2011-06-30 Multivariate Stable Random http://academic2.american.edu/~jpnolan/stable/stable.html For each day estimate
alpha and the spectral
measure using a rolling
time window of 5 years
starting on 2001-01-02. Analysing and Simulating Variables Using
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