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  • Search: subject:"Multivariate skew normal"
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Statistical distribution 3 Statistische Verteilung 3 Theorie 3 Theory 3 Chain-Ladder 2 General insurance 2 Multivariate Analyse 2 Multivariate Skew Normal distribution 2 Multivariate analysis 2 Multivariate skew-normal distribution 2 Prediction 2 Stochastic loss reserving 2 multivariate skew normal distribution 2 62E17 Multivariate skew normal distribution Noncentral skew chi-square distribution Necessary and sufficient conditions Cochran's theorem Moment generating function 1 62H10 secondary 1 ARCH model 1 ARCH-Modell 1 Bayesian inference 1 Canonical fundamental skew-normal distribution 1 Confidence regions 1 Currency hedging 1 EM algorithm 1 Effectiveness 1 Efficiency 1 Effizienz 1 Endogeneity 1 Estimation 1 Estimation theory 1 Exchangeability 1 Extended skew-normal distribution 1 Forecasting model 1 Gibbs sampler 1 Hazard gradient 1 Hedging 1 Hotelling's T2 1 Location parameter 1 Log-concave density function 1 Log-concavity 1 Loss 1 MCMC 1
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Undetermined 9 CC license 1 Free 1
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Article 12
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Article in journal 4 Aufsatz in Zeitschrift 4
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Undetermined 8 English 4
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Antonio, Katrien 2 Denuit, Michel 2 Pigeon, Mathieu 2 Wang, Tonghui 2 Adcock, C. J. 1 Arellano-Valle, R.B. 1 Arevalillo, Jorge M. 1 Balakrishnan, N. 1 Bolfarine, H. 1 Gupta, Arjun K. 1 Gupta, Ramesh 1 Lachos, V.H. 1 Lee, Sharon 1 Li, Baokun 1 Liu, Wei-hn 1 Loperfido, Nicola 1 Ma, Ziwei 1 Mayston, David J. 1 McLachlan, Geoffrey 1 Navarro, Hilario 1 Wei, Zheng 1 Zhu, Xiaonan 1
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Advances in Data Analysis and Classification 1 Applied economics 1 Asian journal of economics and banking : AJEB 1 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 Journal of Applied Statistics 1 Journal of Multivariate Analysis 1 Journal of productivity analysis 1 Metrika 1 Statistics & Probability Letters 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The European Journal of Finance 1
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RePEc 8 ECONIS (ZBW) 4
Showing 11 - 12 of 12
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Bayesian Inference for Skew-normal Linear Mixed Models
Arellano-Valle, R.B.; Bolfarine, H.; Lachos, V.H. - In: Journal of Applied Statistics 34 (2007) 6, pp. 663-682
skew-normal liner mixed models (SNLMM) that relax the normality assumption by using a multivariate skew-normal distribution …
Persistent link: https://www.econbiz.de/10005492194
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Exploiting skewness to build an optimal hedge fund with a currency overlay
Adcock, C. J. - In: The European Journal of Finance 11 (2005) 5, pp. 445-462
This paper documents an investigation into the use of portfolio selection methods to construct a hedge fund with a currency overlay. The fund, which is based on number of international stock and bond market indices and is constructed from the perspective of a Sterling investor, allows the...
Persistent link: https://www.econbiz.de/10005471918
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