Multivariate stable distributions and their applications for modelling\n cryptocurrency-returns

Abstract

In this paper we extend the known methodology for fitting stable\ndistributions to the multivariate case and apply the suggested method to the\nmodelling of daily cryptocurrency-return data. The investigated time period is\ncut into 10 non-overlapping sections, thus the changes can also be observed. We\napply bootstrap tests for checking the models and compare our approach to the\nmore traditional extreme-value and copula models.\n