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arXiv · 1810.09521

Multivariate stable distributions and their applications for modelling cryptocurrency-returns

Szabolcs Majoros·András Zempléni
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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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Szabolcs Majoros, András Zempléni. 2018-10-22. Multivariate stable distributions and their applications for modelling cryptocurrency-returns. https://arxiv.org/abs/1810.09521

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