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arXiv · 2310.13445

Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data

Simos G. Meintanis·John P. Nolan·Charl Pretorius
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Abstract

We consider goodness-of-fit methods for multivariate symmetric and asymmetric stable Paretian random vectors in arbitrary dimension. The methods are based on the empirical characteristic function and are implemented both in the i.i.d. context as well as for innovations in GARCH models. Asymptotic properties of the proposed procedures are discussed, while the finite-sample properties are illustrated by means of an extensive Monte Carlo study. The procedures are also applied to real data from the financial markets.

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Simos G. Meintanis, John P. Nolan, Charl Pretorius. 2023-10-20. Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data. https://doi.org/10.1007/s11749-023-00909-3

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