Up- and down-correlations in normal variance mixture models

DOI10.1016/J.SPL.2023.109949MaRDI QIDQ6192365zbMATH OpenOpenAlexFDO

Authors Jonathan Ansari, Tomer Shushi, Steven Vanduffel

Publication date 12 February 2024

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

correlationdependence structureelliptical distributionlinear model

Mathematics Subject Classification ID

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

Recommendations

• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
• Conditional distributions of multivariate normal mean-variance mixtures
• On normal variance-mean mixtures
• On the conditional variance for scale mixtures of normal distributions
• The conditional variance for gamma mixtures of normal distributions

Cites work

• A note on conditional covariance matrices for elliptical distributions
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• Coherent measures of risk
• Conditional and dynamic convex risk measures
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
• Linear-time accurate lattice algorithms for tail conditional expectation
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Multivariate tail conditional expectation for elliptical distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks

Cited in

(2)

• Discrete-continuous dual families, reciprocal laws, random summation, and mixtures of Gaussian distributions
• Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions

This page was built for publication: Up- and down-correlations in normal variance mixture models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6192365)