Title: Multivariate stable distributions and their applications for modelling cryptocurrency-returns,
Abstract: In this paper we extend the known methodology for fitting stable
distributions to the multivariate case and apply the suggested method to the
modelling of daily cryptocurrency-return data. The investigated time period is
cut into 10 non-overlapping sections, thus the changes can also be observed. We
apply bootstrap tests for checking the models and compare our approach to the
more traditional extreme-value and copula models.