Multivariate stable distributions and their applications for modelling cryptocurrency-returns

2018/10/22 by Szabolcs Majoros, Majoros, Szabolcs, András Zempléni +1
Economics, Econometrics and Finance · #62F40 #62H12 #62P05 #Applications (stat.AP) #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1810.09521

openalex publication_date 2018/10/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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