Estimating Stable Factor Models By Indirect Inference


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CALZOLARI, Giorgio, Roxana HALBLEIB, 2014. Estimating Stable Factor Models By Indirect Inference

@techreport{Calzolari2014Estim-29894, series={Working Paper Series / Department of Economics}, title={Estimating Stable Factor Models By Indirect Inference}, year={2014}, number={2014-25}, author={Calzolari, Giorgio and Halbleib, Roxana} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:date rdf:datatype="">2015-02-19T13:59:41Z</dc:date> <dcterms:issued>2014</dcterms:issued> <dcterms:available rdf:datatype="">2015-02-19T13:59:41Z</dcterms:available> <dcterms:abstract xml:lang="eng">Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under the assumption of time constant distribution (static factor models) or time-varying conditional distribution (GARCH factor models). While the simulation from such a distribution is straightforward, the estimation encounters difficulties. These difficulties are overcome in this paper by implementing the indirect inference estimation method with the multivariate Studentâ s t as the auxiliary distribution.</dcterms:abstract> <dc:contributor>Halbleib, Roxana</dc:contributor> <dc:contributor>Calzolari, Giorgio</dc:contributor> <dc:creator>Halbleib, Roxana</dc:creator> <bibo:uri rdf:resource=""/> <dc:language>eng</dc:language> <dcterms:title>Estimating Stable Factor Models By Indirect Inference</dcterms:title> <dc:creator>Calzolari, Giorgio</dc:creator> <dcterms:rights rdf:resource=""/> </rdf:Description> </rdf:RDF>

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