A multivariate tail covariance measure for elliptical distributions
Zinoviy Landsman, Udi Makov, Tomer Shushi
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Landsman, Zinoviy ; Makov, Udi ; Shushi, Tomer |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 81.2018, p. 27-35
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| Subject: | Elliptical distributions | Multivariate risk measures | Multivariate tail conditional expectation | Tail variance | Multivariate tail covariance | Tail confidence ellipsoid | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Ausreißer | Outliers | Risiko | Risk | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Korrelation | Correlation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.04.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011904613