Reverse stress testing in skew-elliptical models
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2023/10/03
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Indian UGC (journal)
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Refrences41
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Jonathan von Schroeder
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Thorsten Dickhaus
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Taras Bodnar
Abstract
Cite
von Schroeder, Jonathan, et al. “Reverse Stress Testing in Skew-Elliptical Models”. Theory of Probability and Mathematical Statistics, vol. 109, 2023, pp. 101-27, https://doi.org/10.1090/tpms/1199.
von Schroeder, J., Dickhaus, T., & Bodnar, T. (2023). Reverse stress testing in skew-elliptical models. Theory of Probability and Mathematical Statistics, 109, 101-127. https://doi.org/10.1090/tpms/1199
von Schroeder, Jonathan, Thorsten Dickhaus, and Taras Bodnar. “Reverse Stress Testing in Skew-Elliptical Models”. Theory of Probability and Mathematical Statistics 109 (2023): 101-27. https://doi.org/10.1090/tpms/1199.
von Schroeder J, Dickhaus T, Bodnar T. Reverse stress testing in skew-elliptical models. Theory of Probability and Mathematical Statistics. 2023;109:101-27.
Journal Category
Science
Mathematics
Probabilities
Mathematical statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Tests for the weights of the global minimum variance portfolio in a high-dimensional setting | IEEE Transactions on Signal Processing |
| 2019 | |
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions | Scandinavian Journal of Statistics |
| 10 | 2019 |
| Point Estimation of the Location Parameter of a Skew-Normal Distribution: Some Fixed Sample and Asymptotic Results | Journal of Statistical Theory and Practice |
| 7 | 2019 |
| Likelihood procedure for testing changes in skew normal model with applications to stock returns | Communications in Statistics - Simulation and Computation |
| 6 | 2017 |
| Skew-elliptical distributions with applications in risk theory | European Actuarial Journal |
| 16 | 2017 |