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  • Search: subject:"Multivariate skew-t distribution"
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Subject
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ARCH model 3 ARCH-Modell 3 Multivariate skew-t distribution 3 Estimation 2 Mixture models 2 Multivariate Analyse 2 Multivariate analysis 2 Schätzung 2 Statistical distribution 2 Statistische Verteilung 2 Volatility 2 Volatilität 2 multivariate skew-t distribution 2 Agrarprodukt 1 Agricultural product 1 Capital income 1 China 1 CoVaR 1 Commodity derivative 1 EM algorithm 1 Financial crisis 1 Financial market 1 Finanzkrise 1 Finanzmarkt 1 Hedging 1 Information dissemination 1 Informationsverbreitung 1 Kapitaleinkommen 1 Maximum likelihood estimation 1 Measurement 1 Messung 1 Multivariate realized GARCH 1 Multivariate skew normal 1 Multivariate skew t-distribution 1 Multivariate skew-normal distribution 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Rohstoffderivat 1
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Article 6
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Article in journal 3 Aufsatz in Zeitschrift 3
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English 3 Undetermined 3
Author
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Arevalillo, Jorge M. 1 Chen, Qian 1 Chen, Qihao 1 Huang, Zhuo 1 Lee, Sharon 1 Liang, Fang 1 Liu, Wei-hn 1 McLachlan, Geoffrey 1 McNicholas, P.D. 1 Navarro, Hilario 1 Vrbik, I. 1 Weng, Xin 1
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Statistics & Probability Letters 2 Advances in Data Analysis and Classification 1 Applied economics 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance research letters 1
Source
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ECONIS (ZBW) 3 RePEc 3
Showing 1 - 6 of 6
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Chen, Qian; Weng, Xin - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 71-87
Persistent link: https://www.econbiz.de/10012122852
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A note on the direction maximizing skewness in multivariate skew-t vectors
Arevalillo, Jorge M.; Navarro, Hilario - In: Statistics & Probability Letters 96 (2015) C, pp. 328-332
multivariate skew-t distribution. The result relies on the well-known representation of the multivariate skew-t distribution as a …
Persistent link: https://www.econbiz.de/10011115930
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Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions
Liu, Wei-hn - In: Applied economics 46 (2014) 10/12, pp. 1420-1435
Persistent link: https://www.econbiz.de/10010399261
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On mixtures of skew normal and skew <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$t$$</EquationSource> </InlineEquation>-distributions
Lee, Sharon; McLachlan, Geoffrey - In: Advances in Data Analysis and Classification 7 (2013) 3, pp. 241-266
Finite mixtures of skew distributions have emerged as an effective tool in modelling heterogeneous data with asymmetric features. With various proposals appearing rapidly in the recent years, which are similar but not identical, the connection between them and their relative performance becomes...
Persistent link: https://www.econbiz.de/10010995291
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Analytic calculations for the EM algorithm for multivariate skew-t mixture models
Vrbik, I.; McNicholas, P.D. - In: Statistics & Probability Letters 82 (2012) 6, pp. 1169-1174
The em algorithm can be used to compute maximum likelihood estimates of model parameters for skew-t mixture models. We show that the intractable expectations needed in the e-step can be written out analytically. These closed form expressions bypass the need for numerical estimation procedures,...
Persistent link: https://www.econbiz.de/10011039827
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