Alternative multivariate stable distributions and their applications to financial modeling

  • Stefan Mittnik
  • Svetlozar T. Rachev
Part of the Progress in Probabilty book series (PRPR, volume 25)


It is commonly accepted that the distribution of returns on many financial assets is nonnormal. Mandelbrot [5] and Fama [2] proposed the α-stable distribution for modeling stock returns. In [9] we find that the geometric summation scheme provides a better model for univariate stock index data than various stable alternatives, including the α-stable model. Here we extend the geometric summation model to multivariate settings which allows us to model portfolios of financial assets.


Stock Return Weibull Distribution Asset Return Stable Distribution Bivariate Normal Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Birkhäuser Boston 1991

Authors and Affiliations

  • Stefan Mittnik
    • 1
  • Svetlozar T. Rachev
    • 2
  1. 1.Department of EconomicsState University of New York-Stony BrookStony BrookUSA
  2. 2.Department of Statistics and Applied ProbabilityUniversity of California-Santa BarbaraSanta BarbaraUSA

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