Veredas, David; Dominicy, Yves; Ogata, Hiroaki - European Centre for Advanced Research in Economics and … - 2010
We estimate the parameters of an elliptical distribution by means of a multivariate extension of the Method of Simulated Quantiles (MSQ) of Dominicy and Veredas (2010). The multivariate extension entails the challenge of the construction of a function of quantiles that is informative about the...
