scientific article; zbMATH DE number 5877732

zbMath1229.91002MaRDI QIDQ5392722

Markus Höchstötter, Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev

Publication date: 13 April 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

copulasprobabilityprobability distributionrisktime series analysisfinancelinear regressionstatisticsdependence measuredescriptive statisticsBayes' rulefinancial modelinginductive statistics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (10)

The multivariate tail-inflated normal distribution and its application in finance ⋮ Gram-Charlier-like expansions of power-raised hyperbolic secant laws ⋮ Dimension-wise scaled normal mixtures with application to finance and biometry ⋮ An Objective Bayesian Criterion to Determine Model Prior Probabilities ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns ⋮ Parsimonious mixtures for the analysis of tensor-variate data ⋮ The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns ⋮ Objective prior for the number of degrees of freedom of a \(t\) distribution ⋮ A Bayesian regression model for the non-standardized \(t\) distribution with location, scale and degrees of freedom parameters

This page was built for publication: