Search Results - subject:"Elliptic Distributions"

Did you mean: subject:"elliptical distributions" (82 results)

Visualisation of Mahalanobis distances for trivariate JOINT distributions

Groenewald, Emily; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 203-206

Persistent link: https://www.econbiz.de/10014584084

Businesses Risks Aggregation with Copula

Kamdem, Sadefo - In: Journal of Quantitative Economics 9 (2011) July, pp. 58-72

business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with …

Persistent link: https://www.econbiz.de/10010611981

A necessary test of fit of specific elliptical distributions based on an estimator of Song’s measure

Batsidis, Apostolos; Zografos, Konstantinos - In: Journal of Multivariate Analysis 113 (2013) C, pp. 91-105

In a recent paper, Zografos [K. Zografos, On Mardia’s and Song’s measures of kurtosis in elliptical distributions, J. Multivariate Anal. 99 (2008) 858–879] has obtained general formulas for Song’s measure for the elliptic family of distributions, and he introduced and studied its sample...

Persistent link: https://www.econbiz.de/10010588057

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

Estimation of the means of the bivariate normal using moving extreme ranked set sampling with concomitant variable

Al-Saleh, Mohammad; Al-Ananbeh, Ahmad - In: Statistical Papers 48 (2007) 2, pp. 179-195

Persistent link: https://www.econbiz.de/10008486778

VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

KAMDEM, JULES SADEFO - In: International Journal of Theoretical and Applied … 08 (2005) 05, pp. 537-551

In this paper, we generalize the parametric Δ-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a...

Persistent link: https://www.econbiz.de/10005080455

The information matrix, skewness tensor and a-connections for the general multivariate elliptic distribution

Mitchell, Ann - In: Annals of the Institute of Statistical Mathematics 41 (1989) 2, pp. 289-304

Persistent link: https://www.econbiz.de/10005616319