The multivariate tail-inflated normal distribution and its application in finance
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Publication:5033962
DOI10.1080/00949655.2020.1805451OpenAlexW3048561590MaRDI QIDQ5033962FDOQ5033962
Authors: Antonio Punzo, Luca Bagnato 
Publication date: 24 February 2022
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.12180
maximum likelihooduniform distributionelliptical distributionsheavy-tailed distributionsscale mixturesfinancial applications
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Cited In (14)
- A Laplace-based model with flexible tail behavior
- Multiple scaled symmetric distributions in allometric studies
- Uncovering a generalised gamma distribution: from shape to interpretation
- Multivariate Contaminated Normal Censored Regression Model: Properties and Maximum Likelihood Inference
- New bivariate and multivariate log-normal distributions as models for insurance data
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- Parsimonious mixtures for the analysis of tensor-variate data
- Model-based clustering via new parsimonious mixtures of heavy-tailed distributions
- Multivariate cluster weighted models using skewed distributions
- Normalized Exponential Tilting
- The Role of the Normal Distribution in Financial Markets
- Parsimony and parameter estimation for mixtures of multivariate leptokurtic-normal distributions
- Skew multiple scaled mixtures of normal distributions with flexible tail behavior and their application to clustering
- Parsimonious Hidden Markov Models for Matrix-Variate Longitudinal Data
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