We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...
It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
This issue of the Journal of Risk contains four long papers dealing with market risk management. The first paper, “Risk estimation using the normal inverse Gaussian distribution”, by P. J. de Jongh ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback