Narrow search
Showing 1 - 5 of 5
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Multivariate hill estimators
Dominicy, Yves; Ilmonen, Pauliina; Veredas, David - 2014
Persistent link: https://www.econbiz.de/10011289450