IDEAS home Printed from https://ideas.repec.org/
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. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
  2. 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.
  3. Christian Meyer, 2009. "The Bivariate Normal Copula," Papers 0912.2816, arXiv.org.
  4. 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/.
  5. 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.
  6. Da Huang & Hansheng Wang & Qiwei Yao, 2008. "Estimating GARCH models: when to use what?," LSE Research Online Documents on Economics 5398, London School of Economics and Political Science, LSE Library.
  7. Dongming Zhu & John Galbraith, 2009. "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers 2009s-24, CIRANO.
  8. 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.
  9. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. Yasutomo Murasawa, 2013. "Measuring Inflation Expectations Using Interval-Coded Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 602-623, 08.
  17. Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print peer-00768191, HAL.
  18. 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.
  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. Toshinao Yoshiba, 2015. "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series 15-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
  21. 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.
  22. 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.
  23. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
  24. 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.
  25. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 103-126, February.
  26. 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.
  27. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo.
  28. 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.
  29. 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.
  30. 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.
  31. Arslan, Olcay, 2009. "Maximum likelihood parameter estimation for the multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2158-2165, October.
  32. 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.
  33. 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.
  34. Loperfido, Nicola, 2013. "Skewness and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 93-99.
  35. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  36. 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.
  37. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
  38. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.
  46. 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.
  47. Teimouri, Mahdi & Nadarajah, Saralees, 2013. "On simulating Balakrishnan skew-normal variates," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 52-58.
  48. 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.
  49. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 70-77.
  50. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  56. 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.
  57. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, EconWPA.
  58. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
  59. Kim, Hyoung-Moon, 2008. "A note on scale mixtures of skew normal distribution," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1694-1701, September.
  60. 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.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. Zeebari, Zangin & Shukur, Ghazi, 2012. "On the Least Absolute Deviations Method for Ridge Estimation of SURE Models," HUI Working Papers 69, HUI Research.
  66. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  67. 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.
  68. 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.
  69. Toshinao Yoshiba, 2013. "Risk Aggregation by a Copula with a Stressed Condition," Bank of Japan Working Paper Series 13-E-12, Bank of Japan.
  70. Adelchi Azzalini, 2012. "Selection models under generalized symmetry settings," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(4), pages 737-750, August.
  71. 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.
  72. 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.
  73. 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".
  74. 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.
  75. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
  76. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. 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.
  82. 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.
  83. Arslan, Olcay, 2008. "An alternative multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2756-2761, November.
  84. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.