Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Simple techniques for likelihood analysis of univariate and multivariate
  stable distributions: with extensions to multivariate stochastic volatility
  and dynamic factor models   In this paper we consider a variety of procedures for numerical statistical
inference in the family of univariate and multivariate stable distributions. In
connection with univariate distributions (i) we provide approximations by
finite location-scale mixtures and (ii) versions of approximate Bayesian
computation (ABC) using the characteristic function and the asymptotic form of
the likelihood function. In the context of multivariate stable distributions we
propose several ways to perform statistical inference and obtain the spectral
measure associated with the distributions, a quantity that has been a major
impediment in using them in applied work. We extend the techniques to handle
univariate and multivariate stochastic volatility models, static and dynamic
factor models with disturbances and factors from general stable distributions,
a novel way to model multivariate stochastic volatility through time-varying
spectral measures and a novel way to multivariate stable distributions through
copulae. The new techniques are applied to artificial as well as real data (ten
major currencies, SP100 and individual returns). In connection with ABC special
attention is paid to crafting well-performing proposal distributions for MCMC
and extensive numerical experiments are conducted to provide critical values of
the "closeness" parameter that can be useful for further applied econometric
work.

32
The categories of this paper are: atom-ph
6
The categories of this paper are: astro-ph
2
The categories of this paper are: math
20
The categories of this paper are: acc-phys
1
The categories of this paper are: cs
5
The categories of this paper are: gr-qc
29
The categories of this paper are: funct-an
35
The categories of this paper are: mtrl-th
37
The categories of this paper are: supr-con
31
The categories of this paper are: ao-sci
0
The categories of this paper are: hep-ph
9
The categories of this paper are: nlin
3
The categories of this paper are: physics
4
The categories of this paper are: cond-mat
25
The categories of this paper are: patt-sol
8
The categories of this paper are: hep-ex