Multivariate Pareto Distributions: Inference and Financial Applications

DOI10.1080/03610920902833560zbMATH Open1189.91228OpenAlexW1989736608MaRDI QIDQ3566549FDOQ3566549

Authors: Emmanuel N. Papadakis, Efthymios G. Tsionas 

Publication date: 8 June 2010

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902833560

Recommendations

• A form of multivariate Pareto distribution with applications to financial risk measurement
• scientific article; zbMATH DE number 1491694
• Statistical inference for a new class of multivariate Pareto distributions
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• On a multivariate Pareto distribution
• Multivariate generalized Pareto distributions
• Multivariate distributions with generalized Pareto conditionals

zbMATH Keywords

Bayesian inferenceMCMCeconometricsfinancial crisesfinancial contagionmultivariate Pareto distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cites Work

• Marginal Likelihood from the Gibbs Output
• Sampling-Based Approaches to Calculating Marginal Densities
• Using simulation methods for bayesian econometric models: inference, development,and communication
• Adaptive Rejection Sampling for Gibbs Sampling
• Title not available (Why is that?)
• Title not available (Why is that?)
• Contemporary Bayesian Econometrics and Statistics
• Multivariate Pareto Distributions
• Bayesian Estimation and Prediction for Pareto Data

Cited In (6)

• Pareto Regression: A Bayesian Analysis
• A pseudo-Pareto distribution and concomitants of its order statistics
• Statistical inference for a new class of multivariate Pareto distributions
• Univariate and multivariate Pareto models
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
• On Marshall-Olkin type distribution with effect of shock magnitude

Uses Software

• AS 287

This page was built for publication: Multivariate Pareto Distributions: Inference and Financial Applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3566549)