Tail variance for Generalized Skew-Elliptical distributions

DOI10.1080/03610926.2020.1751853MaRDI QIDQ5079253zbMATH OpenOpenAlexFDO

Authors Esmat Jamshidi Eini, H. Khaloozadeh

Publication date 25 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2020.1751853

zbMATH Keywords

risk measuretail variancetail conditional expectationGeneralized Skew-Elliptical distributions

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Statistical Applications of the Multivariate Skew Normal Distribution
• Tail Conditional Expectations for Elliptical Distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Tail conditional moments for elliptical and log-elliptical distributions
• Tail variance premiums for log-elliptical distributions
• The multivariate skew-normal distribution

Cited in

(5)

• Extended generalized skew-elliptical distributions and their moments
• Tail conditional moment for generalized skew-elliptical distributions
• Tail asymptotics for the bivariate skew normal
• Tail asymptotic results for elliptical distributions
• Tail mean-variance portfolio selection with estimation risk

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Uses Software

• QRM

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