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Distributions generated by perturbation of symmetry with emphasis on a multivariate skew "t"-distribution

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Author Info
Adelchi Azzalini
Antonella Capitanio
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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00391
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Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Volume (Year): 65 (2003)
Issue (Month): 2 ()
Pages: 367-389
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Handle: RePEc:bla:jorssb:v:65:y:2003:i:2:p:367-389

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  1. Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers 9/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  2. Michael P. Wiper & F.J. Giron & A. Pewsey, 2005. "Bayesian Inference For The Half-Normal And Half-T Distributions," Statistics and Econometrics Working Papers ws054709, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  3. Dongming Zhu & John Galbraith, 2009. "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers 2009s-24, CIRANO. [Downloadable!]
    Other versions:
  4. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Non-Gaussian dynamic Bayesian modelling for panel data," MPRA Paper 450, University Library of Munich, Germany. [Downloadable!]
  5. Samuel Kotz & Donatella Vicari, 2005. "Survey of developments in the theory of continuous skewed distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 225-261. [Downloadable!]
  6. Dongming Zhu & John Galbraith, 2009. "A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics," CIRANO Working Papers 2009s-13, CIRANO. [Downloadable!]
    Other versions:
  7. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  8. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, School of Economics and Management, University of Aarhus. [Downloadable!]
  9. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, EconWPA. [Downloadable!]
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