On the Conditional Variance for Scale Mixtures of Normal Distributions
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Cited by:
- Fotopoulos, Stergios B., 2017. "Symmetric Gaussian mixture distributions with GGC scales," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 185-194.
- B. Tarami & M. Pourahmadi, 2003. "Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 739-754, November.
- Stergios Fotopoulos & Lijian He, 1999. "Error Bounds for Asymptotic Expansion of the Conditional Variance of the Scale Mixtures of the Multivariate Normal Distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(4), pages 731-747, December.
- Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
- Vilca, Filidor & Balakrishnan, N. & Zeller, Camila Borelli, 2014. "Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 73-85.
- Vilca, Filidor & Balakrishnan, N. & Zeller, Camila Borelli, 2014. "A robust extension of the bivariate Birnbaum–Saunders distribution and associated inference," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 418-435.
- Fotopoulos, Stergios B., 2004. "Tempered distributions and their application in computing conditional moments for normal mixtures," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 257-266, April.
- Fotopoulos, Stergios B. & Jandhyala, Venkata K., 2004. "Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 117-125, January.
- Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
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Keywords
heteroscedasticity; stable random vectors; marginal densities;All these keywords.
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