Statistical properties of co-quantiles and their applications to momentum spillovers

DOI10.1080/03610926.2023.2263116MaRDI QIDQ6597448FDOQ6597448

Authors: Oh Kang Kwon, Stephen Satchell 

Publication date: 3 September 2024

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

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20)

Cites Work

• From moments of sum to moments of product
• Title not available (Why is that?)
• On the Unification of Families of Skew-normal Distributions
• The multivariate skew-normal distribution
• Title not available (Why is that?)
• On the exact distribution of the maximum of absolutely continuous dependent random variables
• On the exact distribution of linear combinations of order statistics from dependent random variables
• The moments of the multivariate normal
• Distribution of concomitants of order statistics and their order statistics
• On an application of concomitants of order statistics
• The distribution of cross sectional momentum returns

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