Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An alternative model for multivariate stable distributions
Includes bibliographical references (leaves 52-55).
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867614238274486272 |
|---|---|
| access_status_str | Open Access |
| author | Jama, Siphamandla |
| author2 | Guo, Renkuan |
| author_browse | Guo, Renkuan Jama, Siphamandla |
| author_facet | Guo, Renkuan Jama, Siphamandla |
| author_sort | Jama, Siphamandla |
| collection | Thesis |
| description | Includes bibliographical references (leaves 52-55). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8959 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:48:51.997Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8959 An alternative model for multivariate stable distributions Jama, Siphamandla Guo, Renkuan Financial Mathematics Includes bibliographical references (leaves 52-55). As the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the sub-Gaussian alpha-stable distribution as another model for multivariate stable data without using the spectral measure as a dependence structure. From our investigation, firstly, we echo that the assumption of "Gaussianity" must be rejected, as a model for, particularly, high frequency financial data based on evidence from the Johannesburg Stock Exchange (JSE). Secondly, the introduced technique adequately models bivariate return data far better than the Gaussian model. We argue that unlike the sub-Gaussian stable and the model involving a spectral measure this technique is not subject to estimation of a joint index of stability, as such it may remain a superior alternative in empirical stable distribution theory. Thirdly, we confirm that the Gaussian Value-at-Risk and Conditional Value-at-Risk measures are more optimistic and misleading while their stable counterparts are more informative and reasonable. Fourthly, our results confirm that stable distributions are more appropriate for portfolio optimization than the Gaussian framework. 2014-10-30T13:49:35Z 2014-10-30T13:49:35Z 2009 Master Thesis Masters MSc http://hdl.handle.net/11427/8959 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Jama, Siphamandla An alternative model for multivariate stable distributions |
| thesis_degree_str | Master's |
| title | An alternative model for multivariate stable distributions |
| title_full | An alternative model for multivariate stable distributions |
| title_fullStr | An alternative model for multivariate stable distributions |
| title_full_unstemmed | An alternative model for multivariate stable distributions |
| title_short | An alternative model for multivariate stable distributions |
| title_sort | alternative model for multivariate stable distributions |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/8959 |
| work_keys_str_mv | AT jamasiphamandla analternativemodelformultivariatestabledistributions AT jamasiphamandla alternativemodelformultivariatestabledistributions |