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

by Adelchi Azzalini & Antonella Capitanio

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  1. Arslan, Olcay, 2008. "An alternative multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2756-2761, November.
  2. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  3. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
  4. Christian Meyer, 2009. "The Bivariate Normal Copula," Papers 0912.2816, arXiv.org.
  5. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
  6. 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.
  7. Kim, Hyoung-Moon & Ryu, Duchwan & Mallick, Bani K. & Genton, Marc G., 2014. "Mixtures of skewed Kalman filters," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 228-251.
  8. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
  9. Kim, Hyoung-Moon, 2008. "A note on scale mixtures of skew normal distribution," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1694-1701, September.
  10. Abe, Toshihiro & Pewsey, Arthur, 2011. "Symmetric circular models through duplication and cosine perturbation," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3271-3282, December.
  11. Miguel A. Juárez & Mark F. J. Steel, 2010. "Non‐gaussian dynamic bayesian modelling for panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(7), pages 1128-1154, November/.
  12. Reinaldo Arellano-Valle & Marc Genton, 2010. "An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(2), pages 363-381, April.
  13. Panagiotelis, Anastasios & Smith, Michael, 2008. "Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions," International Journal of Forecasting, Elsevier, vol. 24(4), pages 710-727.
  14. Rob L. Hyndman & Xibin Zhang & Maxwell L. King,, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Econometric Society 2004 Australasian Meetings 120, Econometric Society.
  15. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  16. John Galbraith & Dongming Zhu, 2009. "Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution," Departmental Working Papers 2009-01, McGill University, Department of Economics.
  17. Zeebari, Zangin & Shukur, Ghazi, 2012. "On the Least Absolute Deviations Method for Ridge Estimation of SURE Models," HUI Working Papers 69, HUI Research.
  18. Loperfido, Nicola, 2008. "A note on skew-elliptical distributions and linear functions of order statistics," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3184-3186, December.
  19. Karvanen, Juha, 2006. "Estimation of quantile mixtures via L-moments and trimmed L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 947-959, November.
  20. 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.
  21. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2008. "The centred parametrization for the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(7), pages 1362-1382, August.
  22. Balakrishnan, N. & Capitanio, A. & Scarpa, B., 2014. "A test for multivariate skew-normality based on its canonical form," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 19-32.
  23. Galvao, Antonio F. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter & Wang, Liang, 2013. "Tests for skewness and kurtosis in the one-way error component model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 35-52.
  24. Yu, Donghyeon & Lim, Johan & Liang, Feng & Kim, Kyunga & Kim, Byung Soo & Jang, Woncheol, 2012. "Permutation test for incomplete paired data with application to cDNA microarray data," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 510-521.
  25. Rubio, Francisco Javier & Steel, Mark F. J., 2014. "Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations," MPRA Paper 57102, University Library of Munich, Germany.
  26. 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.
  27. Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
  28. Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José María Sarabia, 2011. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2011-05, Henley Business School, Reading University.
  29. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, EconWPA.
  30. Zhu, Dongming & Galbraith, John W., 2010. "A generalized asymmetric Student-t distribution with application to financial econometrics," Journal of Econometrics, Elsevier, vol. 157(2), pages 297-305, August.
  31. Xu, Wenjing & Pan, Qing & Gastwirth, Joseph L., 2014. "Cox proportional hazards models with frailty for negatively correlated employment processes," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 295-307.
  32. Thomas R. Allen Corns & Stephen E. Satchell, 2010. "Modelling conditional heteroskedasticity and skewness using the skew-normal distribution," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 251-263.
  33. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
  34. Adelchi Azzalini & Marc G. Genton & Bruno Scarpa, 2010. "Invariance-based estimating equations for skew-symmetric distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 275-298.
  35. Rubio, Francisco Javier & Liseo, Brunero, 2014. "On the independence Jeffreys prior for skew-symmetric models," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 91-97.
  36. Dale Umbach & Sreenivas Rao Jammalamadaka, 2010. "Some moment properties of skew-symmetric circular distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 265-273.
  37. Jamalizadeh, A. & Balakrishnan, N., 2009. "Prediction in a trivariate normal distribution via a linear combination of order statistics," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2289-2296, November.
  38. Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 62-72.
  39. Loperfido, Nicola, 2013. "Skewness and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 93-99.
  40. Adelchi Azzalini, 2012. "Selection models under generalized symmetry settings," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(4), pages 737-750, August.
  41. Teimouri, Mahdi & Nadarajah, Saralees, 2013. "On simulating Balakrishnan skew-normal variates," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 52-58.
  42. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 732-740.
  43. Xie, Feng-Chang & Wei, Bo-Cheng & Lin, Jin-Guan, 2009. "Homogeneity diagnostics for skew-normal nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 821-827, March.
  44. Contreras-Reyes, Javier E., 2014. "Asymptotic form of the Kullback–Leibler divergence for multivariate asymmetric heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 200-208.
  45. Cabral, Celso Rômulo Barbosa & Lachos, Víctor Hugo & Prates, Marcos O., 2012. "Multivariate mixture modeling using skew-normal independent distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 126-142, January.
  46. Arslan, Olcay, 2009. "Maximum likelihood parameter estimation for the multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2158-2165, October.
  47. Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1105-1117, August.
  48. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
  49. Wang, Dong & Chen, Song Xi, 2009. "Combining quantitative trait loci analyses and microarray data: An empirical likelihood approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(5), pages 1661-1673, March.
  50. Basso, Rodrigo M. & Lachos, Víctor H. & Cabral, Celso Rômulo Barbosa & Ghosh, Pulak, 2010. "Robust mixture modeling based on scale mixtures of skew-normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2926-2941, December.
  51. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  52. Adelchi Azzalini & Giuliana Regoli, 2012. "Some properties of skew-symmetric distributions," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(4), pages 857-879, August.
  53. Wang, Wan-Lun, 2013. "Mixtures of common factor analyzers for high-dimensional data with missing information," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 120-133.
  54. Lin, Tsung I. & Ho, Hsiu J. & Chen, Chiang L., 2009. "Analysis of multivariate skew normal models with incomplete data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2337-2351, November.
  55. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
  56. Liseo, Brunero & Parisi, Antonio, 2013. "Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 125-138.
  57. Cabral, Celso Rômulo Barbosa & da-Silva, Cibele Queiroz & Migon, Helio S., 2014. "A dynamic linear model with extended skew-normal for the initial distribution of the state parameter," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 64-80.
  58. Lui, Kung-Jong & Chang, Kuang-Chao, 2009. "Corrigendum to: "Testing homogeneity of risk difference in stratified randomized trials with noncompliance" [Comput. Statist. Data Anal. 53 (2008) 209-221]," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1529-1529, February.
  59. Eling, Martin, 2012. "Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 239-248.
  60. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
  61. Bennala, Nezar & Hallin, Marc & Paindaveine, Davy, 2012. "Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels," Journal of Econometrics, Elsevier, vol. 170(1), pages 50-67.
  62. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  63. Reinaldo B. Arellano-Valle, 2010. "On the information matrix of the multivariate skew-t model," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 371-386.
  64. Reinaldo B. Arellano-Valle & Marc G. Genton, 2010. "Multivariate extended skew-t distributions and related families," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 201-234.
  65. Cristina García de la Fuente & Pedro Galeano & Michael P. Wiper, 2014. "Bayesian estimation of a Dynamic Conditional Correlation model with multivariate Skew-Slash innovations," Statistics and Econometrics Working Papers ws141711, Universidad Carlos III, Departamento de Estadística y Econometría.
  66. Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, vol. 123(3), pages 257-261.
  67. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
  68. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, 01.
  69. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
  70. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  71. Cabral, Celso Rômulo Barbosa & Bolfarine, Heleno & Pereira, José Raimundo Gomes, 2008. "Bayesian density estimation using skew student-t-normal mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5075-5090, August.
  72. Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  73. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 70-77.
  74. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  75. Fang, B.Q., 2008. "Noncentral matrix quadratic forms of the skew elliptical variables," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1105-1127, July.