Multivariate Pareto Distributions: Inference and Financial Applications

DOI10.1080/03610920902833560MaRDI QIDQ3566549zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5604057 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• Adaptive Rejection Sampling for Gibbs Sampling
• Bayesian Estimation and Prediction for Pareto Data
• Contemporary Bayesian Econometrics and Statistics
• Marginal Likelihood from the Gibbs Output
• Multivariate Pareto Distributions
• Sampling-Based Approaches to Calculating Marginal Densities
• Using simulation methods for bayesian econometric models: inference, development,and communication

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

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Uses Software

• AS 287

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