Up- and down-correlations in normal variance mixture models

DOI10.1016/j.spl.2023.109949OpenAlexW4388153588MaRDI QIDQ6192365

Tomer Shushi, Steven Vanduffel, Jonathan Ansari

Publication date: 12 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109949

zbMATH Keywords

correlationlinear modeldependence structureelliptical distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• A note on conditional covariance matrices for elliptical distributions
• Conditional and dynamic convex risk measures
• Multivariate tail conditional expectation for elliptical distributions
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Coherent Measures of Risk
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Linear-time accurate lattice algorithms for tail conditional expectation
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

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