Search Results - subject:"Multivariate-t distribution"

Correlation Under Stress In Normal Variance Mixture Models

Kalkbrener, Michael; Packham, Natalie - 2018

We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in nancial modelling. For the special cases of jointly...

Persistent link: https://www.econbiz.de/10012433184

An entropy divergence, D-distribution and its selected application in multivariate financial time series

Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148

Persistent link: https://www.econbiz.de/10012940016

Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017

Persistent link: https://www.econbiz.de/10011799030

The copula based on multivariate t-distribution with vector of degrees of freedom

Balaev, Alexey - In: Applied Econometrics 33 (2014) 1, pp. 90-110

In this paper we construct a copula based on the multivariate t-distribution with vector degrees of freedom parameter …, which possesses significant advantages over the copula based on the standard multivariate t-distribution. We derive the … asset returns on financial markets. We also propose an algorithm of simulating random vectors with multivariate t-distribution …

Persistent link: https://www.econbiz.de/10011106274

The multivariate-t distribution and the Simes inequality

Block, Henry W.; Savits, Thomas H.; Wang, Jie; Sarkar, … - In: Statistics & Probability Letters 83 (2013) 1, pp. 227-232

multivariate-t distribution does not satisfy this (MTP2) property, so other means are necessary. A corollary was given in Sarkar …

Persistent link: https://www.econbiz.de/10010593931

The optimal portfolio model based on multivariate t distribution with linear weighted sum method

Yu, Xing - In: E3 Journal of Business Management and Economics. 3 (2012) 1, pp. 044-047

assumption that the portfolio yield is subject to the multivariate t distribution. With linear weighted sum method, we solved the …

Persistent link: https://www.econbiz.de/10009416900

Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling

Balaev, Balaev , Alexey - In: Applied Econometrics 23 (2011) 3, pp. 79-97

A modification of multivariate t-distribution with vector of degrees of freedom is suggested: multivariate t-distribution …

Persistent link: https://www.econbiz.de/10009292419

Correlation under stress in normal variance mixture models

Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456

Persistent link: https://www.econbiz.de/10011350602

Modelling financial returns and portfolio construction for the Russian stock market

Balaev, Alexey I. - In: International Journal of Computational Economics and … 4 (2014) 1/2, pp. 32-81

marginal distributions. Multivariate t-distribution with vector degrees of freedom parameter is a recent generalisation of the … classic multivariate t-distribution and in the present paper it is applied to Russian financial data for the first time. Using …

Persistent link: https://www.econbiz.de/10010760034

Model-based clustering via linear cluster-weighted models

Ingrassia, Salvatore; Minotti, Simona C.; Punzo, Antonio - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 159-182

A novel family of twelve mixture models with random covariates, nested in the linear t cluster-weighted model (CWM), is introduced for model-based clustering. The linear t CWM was recently presented as a robust alternative to the better known linear Gaussian CWM. The proposed family of models...

Persistent link: https://www.econbiz.de/10010719695