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On the Conditional Distribution of the Multivariate Distribution
Citations
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Cited by:
- Savi Virolainen, 2021. "Gaussian and Student's $t$ mixture vector autoregressive model with application to the effects of the Euro area monetary policy shock," Papers 2109.13648, arXiv.org, revised Jun 2024.
- Yin, Chuancun & Balakrishnan, Narayanaswamy, 2024. "Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
- Jamalizadeh, Ahad & Balakrishnan, Narayanaswamy, 2019. "Conditional distributions of multivariate normal mean–variance mixtures," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 312-316.
- Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
- Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
- Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
- Dubey, Subodh & Bansal, Prateek & Daziano, Ricardo A. & Guerra, Erick, 2020. "A Generalized Continuous-Multinomial Response Model with a t-distributed Error Kernel," Transportation Research Part B: Methodological, Elsevier, vol. 133(C), pages 114-141.
- Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
- Auld, Tom & Linton, Oliver, 2019.
"The behaviour of betting and currency markets on the night of the EU referendum,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 371-389.
- Auld, T. & Linton, O., 2017. "The Behaviour of Betting and Currency Markets on the Night of the EU Referendum," Cambridge Working Papers in Economics 1750, Faculty of Economics, University of Cambridge.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," Monash Econometrics and Business Statistics Working Papers 10/18, Monash University, Department of Econometrics and Business Statistics.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," CeMMAP working papers CWP01/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- D’Innocenzo, Enzo & Lucas, Andre, 2024. "Dynamic partial correlation models," Journal of Econometrics, Elsevier, vol. 241(2).
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017.
"Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach,"
Working Papers of Department of Decision Sciences and Information Management, Leuven
590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
- Belongia, Michael T. & Ireland, Peter N., 2022.
"A reconsideration of money growth rules,"
Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
- Michael T. Belongia & Peter N. Ireland, 2019. "A Reconsideration of Money Growth Rules," Boston College Working Papers in Economics 976, Boston College Department of Economics.
- Arief Hakim & Khreshna Syuhada, 2023. "Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach," Risks, MDPI, vol. 11(2), pages 1-45, February.
- Octavio Fernández-Amador & Doris A. Oberdabernig & Patrick Tomberger, 2019.
"Testing for Convergence in Carbon Dioxide Emissions Using a Bayesian Robust Structural Model,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 73(4), pages 1265-1286, August.
- Fernández-Amador, Octavio & Oberdabernig, Doris & Tomberger, Patrick, 2017. "Testing for Convergence in Carbon Dioxide Emissions using a Bayesian Robust Structural Model," Papers 1101, World Trade Institute.
- Yuya Sasaki & Yulong Wang, 2022.
"Fixed-k Inference for Conditional Extremal Quantiles,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 829-837, April.
- Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
- Torri, Gabriele & Giacometti, Rosella & Tichý, Tomáš, 2021. "Network tail risk estimation in the European banking system," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Savi Virolainen, 2020. "A mixture autoregressive model based on Gaussian and Student's $t$-distributions," Papers 2003.05221, arXiv.org, revised May 2020.
- Kulish, Mariano & Morley, James & Robinson, Tim, 2017.
"Estimating DSGE models with zero interest rate policy,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 35-49.
- Mariano Kulish & James Morley & Tim Robinson, 2016. "Estimating DSGE models with Zero Interest Rate Policy," Discussion Papers 2014-32B, School of Economics, The University of New South Wales.
- Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Raphaël Huser & Thomas Opitz & Emeric Thibaud, 2021. "Max‐infinitely divisible models and inference for spatial extremes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 321-348, March.
- Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022. "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers 2203.13740, arXiv.org.
- Koike, Takaaki & Hofert, Marius, 2021. "Modality for scenario analysis and maximum likelihood allocation," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 24-43.
- Stübinger, Johannes & Mangold, Benedikt & Krauss, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Subodh Dubey & Prateek Bansal & Ricardo A. Daziano & Erick Guerra, 2019. "A Generalized Continuous-Multinomial Response Model with a t-distributed Error Kernel," Papers 1904.08332, arXiv.org, revised Jan 2020.
- Fidel Ernesto Castro Morales & Dimitris N. Politis & Jacek Leskow & Marina Silva Paez, 2022. "Student’s-t process with spatial deformation for spatio-temporal data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1099-1126, December.
- Tachfine El Alami & Laurent Devineau & Stéphane Loisel, 2022. "Risk adjustment under IFRS 17: An adaptation of Solvency 2 one-year aggregation into an ultimate view framework," Working Papers hal-03762799, HAL.
- Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).