Multivariate stable distributions and their applications for modelling cryptocurrency-returns
Authors: Szabolcs Majoros, András Zempléni
Journal: arXiv
mental health
psychology
open access
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.