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

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 706263 (Why is no real title available?)
• Distribution of concomitants of order statistics and their order statistics
• From moments of sum to moments of product
• On an application of concomitants of order statistics
• On the Unification of Families of Skew-normal Distributions
• On the exact distribution of linear combinations of order statistics from dependent random variables
• On the exact distribution of the maximum of absolutely continuous dependent random variables
• The distribution of cross sectional momentum returns
• The moments of the multivariate normal
• The multivariate skew-normal distribution

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