## Estimating Stable Factor Models By Indirect Inference

2014
##### Series
Working Paper Series / Department of Economics; 2014-25
##### Publication type
Working Paper/Technical Report
##### Abstract
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.
330 Economics
##### Cite This
ISO 690CALZOLARI, Giorgio, Roxana CHIRIAC, 2014. Estimating Stable Factor Models By Indirect Inference
BibTex
@techreport{Calzolari2014Estim-29894,
year={2014},
series={Working Paper Series / Department of Economics},
title={Estimating Stable Factor Models By Indirect Inference},
number={2014-25},
author={Calzolari, Giorgio and Chiriac, Roxana}
}

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Yes