Measures of dependence for the multivariate t distribution with applications to the stock market
DOI10.1080/03610929808832268zbMATH Open0924.62065OpenAlexW2017808405MaRDI QIDQ4246301FDOQ4246301
Authors: José-Luis Guerrero-Cusumano 
Publication date: 9 November 1999
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929808832268
Recommendations
- An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
- On measurement of stochastic dependence in multivariate data
- A measure of total variability for the multivariate \(t\) distribution with applications to finance
- A measure of dependence for stable distributions
Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- An informational measure of correlation
- Title not available (Why is that?)
- Relative Entropy Measures of Multivariate Dependence
- Estimation of the parameters of a regression model with a multivariate t error variable
- A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
- Estimation of regression parameters in generalized linear models for cluster correlated data with measurement error
- An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
- A measure of total variability for the multivariate \(t\) distribution with applications to finance
- Multivariate mutual information
Cited In (7)
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Symmetrical independence tests for two random vectors with arbitrary dimensional graphs
- Independent Component Analysis and Immunization: An Exploratory Study
- Mathematical properties of the multivariate \(t\) distribution
- Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
- Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
- Discrimination of observations into one of two elliptic populations based on monotone training samples
This page was built for publication: Measures of dependence for the multivariate t distribution with applications to the stock market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4246301)
