TEST FOR ASSOCIATION OF RANDOM VARIABLES IN THE DOMAIN OF
ATTRACTION OF MULTIVARIATE STABLE LAW
Svetlozar T. Rachev
Huang Xin
Abstract: The problem of estimating the index of stability and the spectral measure of
multivariate stable distribution is related to that of evaluating the risk of stable portfolio of
financial assets. We show how to solve this problem assuming that the observations are taken
from the domain of attraction of a multivariate stable law. Our main results concern tests
for association, and estimates of the risk and the covariation of a stable portfolio.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -