Similar Search Results

Sequential estimation of shape parameters in multivariate dynamic models

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249

Persistent link: https://www.econbiz.de/10010254873

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14

We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the...

Persistent link: https://www.econbiz.de/10011619035

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

Multivariate stochastic dominance applied to sector-based portfolio selection

Kouaissah, Noureddine; Ortobelli Lozza, Sergio - In: IMA journal of management mathematics 32 (2021) 2, pp. 139-160

Persistent link: https://www.econbiz.de/10012434397

Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series

Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117

Persistent link: https://www.econbiz.de/10012054429