Multivariate Student versus Multivariate Gaussian Regression Models with Application to Finance
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References listed on IDEAS
- Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nguyen, T.H.A & Laurent, Thibault & Thomas-Agnan, Christine & Ruiz-Gazen, Anne, 2018. "Analyzing the impacts of socio-economic factors on French departmental elections with CODA methods," TSE Working Papers 18-961, Toulouse School of Economics (TSE).
- Christophe Croux & Mohammed Fekri & Anne Ruiz-Gazen, 2010. "Fast and robust estimation of the multivariate errors in variables model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 286-303, August.
- Kelejian, Harry H. & Prucha, Ingmar R., 1985. "Independent or uncorrelated disturbances in linear regression : An illustration of the difference," Economics Letters, Elsevier, vol. 19(1), pages 35-38.
- Singh, Radhey S., 1988. "Estimation of error variance in linear regression models with errors having multivariate student-t distribution with unknown degrees of freedom," Economics Letters, Elsevier, vol. 27(1), pages 47-53.
More about this item
Keywordsmultivariate regression models; heavy-tailed data; Mahalanobis distances; maximum likelihood estimator; independent multivariate Student distribution; uncorrelated multivariate Student distribution;
- C - Mathematical and Quantitative Methods
- E - Macroeconomics and Monetary Economics
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
- G - Financial Economics
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