Advanced Search
MyIDEAS: Login

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

by Adelchi Azzalini & Antonella Capitanio

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, Elsevier, vol. 160(2), pages 300-310, February.
  2. 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, Elsevier, vol. 18(4), pages 765-778, September.
  3. 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.
  4. 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.
  5. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2008. "The centred parametrization for the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 99(7), pages 1362-1382, August.
  6. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  7. Balakrishnan, N. & Capitanio, A. & Scarpa, B., 2014. "A test for multivariate skew-normality based on its canonical form," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 128(C), pages 19-32.
  8. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 265-273.
  9. 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, Elsevier, vol. 74(C), pages 64-80.
  10. Xie, Feng-Chang & Wei, Bo-Cheng & Lin, Jin-Guan, 2009. "Homogeneity diagnostics for skew-normal nonlinear regression models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(6), pages 821-827, March.
  11. Lin, Tsung I. & Ho, Hsiu J. & Chen, Chiang L., 2009. "Analysis of multivariate skew normal models with incomplete data," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 100(10), pages 2337-2351, November.
  12. André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
  13. Xu, Wenjing & Pan, Qing & Gastwirth, Joseph L., 2014. "Cox proportional hazards models with frailty for negatively correlated employment processes," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 70(C), pages 295-307.
  14. Loperfido, Nicola, 2013. "Skewness and the linear discriminant function," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(1), pages 93-99.
  15. John Galbraith & Dongming Zhu, 2009. "Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution," Departmental Working Papers, McGill University, Department of Economics 2009-01, McGill University, Department of Economics.
  16. 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, Elsevier, vol. 395(C), pages 200-208.
  17. Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José María Sarabia, 2011. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2011-05, Henley Business School, Reading University.
  18. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 371-386.
  19. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
  20. Abe, Toshihiro & Pewsey, Arthur, 2011. "Symmetric circular models through duplication and cosine perturbation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(12), pages 3271-3282, December.
  21. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series, European Central Bank 1621, European Central Bank.
  22. Arslan, Olcay, 2008. "An alternative multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(16), pages 2756-2761, November.
  23. 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, Elsevier, vol. 53(4), pages 1529-1529, February.
  24. Liseo, Brunero & Parisi, Antonio, 2013. "Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 63(C), pages 125-138.
  25. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 201-234.
  26. 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, Elsevier, vol. 401(C), pages 330-343.
  27. John Galbraith & Dongming Zhu, 2009. "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers, McGill University, Department of Economics 2009-02, McGill University, Department of Economics.
  28. Panagiotelis, Anastasios & Smith, Michael, 2008. "Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 710-727.
  29. Miguel A. Juárez & Mark F. J. Steel, 2010. "Non‐gaussian dynamic bayesian modelling for panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(7), pages 1128-1154, November/.
  30. Cabral, Celso Rômulo Barbosa & Lachos, Víctor Hugo & Prates, Marcos O., 2012. "Multivariate mixture modeling using skew-normal independent distributions," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(1), pages 126-142, January.
  31. Kim, Hyoung-Moon & Ryu, Duchwan & Mallick, Bani K. & Genton, Marc G., 2014. "Mixtures of skewed Kalman filters," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 123(C), pages 228-251.
  32. Wang, Dong & Chen, Song Xi, 2009. "Combining quantitative trait loci analyses and microarray data: An empirical likelihood approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(5), pages 1661-1673, March.
  33. 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, Elsevier, vol. 56(11), pages 3498-3516.
  34. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 96(1), pages 93-116, September.
  35. Arslan, Olcay, 2009. "Maximum likelihood parameter estimation for the multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(20), pages 2158-2165, October.
  36. 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, Elsevier, vol. 170(1), pages 50-67.
  37. Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  38. Christian Meyer, 2009. "The Bivariate Normal Copula," Papers 0912.2816, arXiv.org.
  39. Adelchi Azzalini, 2012. "Selection models under generalized symmetry settings," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 64(4), pages 737-750, August.
  40. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
  41. 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, Springer, vol. 62(2), pages 363-381, April.
  42. Wang, Wan-Lun, 2013. "Mixtures of common factor analyzers for high-dimensional data with missing information," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 117(C), pages 120-133.
  43. 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, Elsevier, vol. 122(C), pages 35-52.
  44. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 251-263.
  45. 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, Elsevier, vol. 54(12), pages 2926-2941, December.
  46. Rob L. Hyndman & Xibin Zhang & Maxwell L. King,, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Econometric Society 2004 Australasian Meetings, Econometric Society 120, Econometric Society.
  47. Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 128(C), pages 62-72.
  48. Zeebari, Zangin & Shukur, Ghazi, 2012. "On the Least Absolute Deviations Method for Ridge Estimation of SURE Models," HUI Working Papers, HUI Research 69, HUI Research.
  49. Adelchi Azzalini & Giuliana Regoli, 2012. "Some properties of skew-symmetric distributions," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 64(4), pages 857-879, August.
  50. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
  51. Karvanen, Juha, 2006. "Estimation of quantile mixtures via L-moments and trimmed L-moments," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(2), pages 947-959, November.
  52. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 94-112.
  53. 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, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  54. Michael P. Wiper & F.J. Giron & A. Pewsey, 2005. "Bayesian Inference For The Half-Normal And Half-T Distributions," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws054709, Universidad Carlos III, Departamento de Estadística y Econometría.
  55. 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, Elsevier, vol. 56(3), pages 510-521.
  56. 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, Elsevier, vol. 234(2), pages 392-401.
  57. Rubio, Francisco Javier & Liseo, Brunero, 2014. "On the independence Jeffreys prior for skew-symmetric models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 85(C), pages 91-97.
  58. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(1), pages 70-77.
  59. Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, Elsevier, vol. 123(3), pages 257-261.
  60. 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, Elsevier, vol. 52(12), pages 5075-5090, August.
  61. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 225-261.
  62. Jamalizadeh, A. & Balakrishnan, N., 2009. "Prediction in a trivariate normal distribution via a linear combination of order statistics," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(21), pages 2289-2296, November.
  63. Teimouri, Mahdi & Nadarajah, Saralees, 2013. "On simulating Balakrishnan skew-normal variates," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 57(1), pages 52-58.
  64. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics, EconWPA 0403001, EconWPA.
  65. 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, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 275-298.
  66. Kim, Hyoung-Moon, 2008. "A note on scale mixtures of skew normal distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(13), pages 1694-1701, September.
  67. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, Elsevier, vol. 118(2), pages 272-274.
  68. 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, Universidad Carlos III, Departamento de Estadística y Econometría ws141711, Universidad Carlos III, Departamento de Estadística y Econometría.
  69. 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, University of Manchester, vol. 82(1), pages 71-102, 01.
  70. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(7), pages 1824-1839, July.
  71. Kim, Hyoung-Moon & Genton, Marc G., 2011. "Characteristic functions of scale mixtures of multivariate skew-normal distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 102(7), pages 1105-1117, August.
  72. Loperfido, Nicola, 2008. "A note on skew-elliptical distributions and linear functions of order statistics," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(18), pages 3184-3186, December.
  73. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(3), pages 732-740.
  74. 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, Elsevier, vol. 50(11), pages 3009-3031, July.
  75. Fang, B.Q., 2008. "Noncentral matrix quadratic forms of the skew elliptical variables," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 99(6), pages 1105-1127, July.