Limit distributions of multivariate kurtosis and moments under Watson rotational symmetric distributions
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- Baringhaus, L. & Henze, N., 1991. "Limit distributions for measures of multivariate skewness and kurtosis based on projections," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 51-69, July.
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Cited by:
- Araújo, Tanya & Spelta, Alessandro, 2014.
"Structural changes in cross-border liabilities: A multidimensional approach,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.
- Tanya Araùjo & Alessandro Spelta, 2013. "Structural changes in cross-border liabilities: a multidimensional approach," DEM Working Papers Series 050, University of Pavia, Department of Economics and Management.
- Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
- Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
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Keywords
Asymptotic distribution Multivariate kurtosis and skewness Scheiddgegger-Watson distribution Rotational symmetric distributions Watson rotational symmetric distributions;Statistics
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