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Search: subject:"heavy-tailed data"
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Mahalanobis distances
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heavy-tailed data
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independent multivariate Student distribution
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maximum likelihood estimator
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multivariate regression models
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uncorrelated multivariate Student distribution
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Multivariate student versus multivariate Gaussian regression models with application to finance
Ruiz-Gazen, Anne
;
Thomas-Agnan, Christine
;
Laurent, Thibault
- In:
Journal of Risk and Financial Management
12
(
2019
)
1
,
pp. 1-21
To model multivariate, possibly
heavy-tailed
data
, we compare the multivariate normal model (N) with two versions of …
Persistent link: https://www.econbiz.de/10012611170
Saved in:
2
Multivariate student versus multivariate Gaussian regression models with application to finance
Thi Huong An Nguyen
;
Ruiz-Gazen, Anne
;
Thomas-Agnan, …
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
1/28
,
pp. 1-21
To model multivariate, possibly
heavy-tailed
data
, we compare the multivariate normal model (N) with two versions of …
Persistent link: https://www.econbiz.de/10012022338
Saved in:
3
Valuation of contingent convertible catastrophe bonds : the case for equity conversion
Burnecki, Krzysztof
;
Giuricich, Mario Nicoló
; …
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 238-254
Persistent link: https://www.econbiz.de/10012105571
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