相关论文: Testing new property of elliptical model for stock…

Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. We find that while Student copulas provide…

We introduce a new class of multivariate elliptically symmetric distributions including elliptically symmetric logistic distributions and Kotz type distributions. We investigate the various probabilistic properties including marginal…

Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…

This paper presents a procedure for testing the hypothesis that the underlying distribution of the data is elliptical when using robust location and scatter estimators instead of the sample mean and covariance matrix. Under mild assumptions…

Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…

This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…

This paper investigates improved testing inferences under a general multivariate elliptical regression model. The model is very flexible in terms of the specification of the mean vector and the dispersion matrix, and of the choice of the…

This note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be the same value. The effect of the structure on feasible…

Elliptical distribution is a basic assumption underlying many multivariate statistical methods. For example, in sufficient dimension reduction and statistical graphical models, this assumption is routinely imposed to simplify the data…

A general and relatively simple method for construction of multivariate goodness-of-fit tests is introduced. The proposed test is applied to elliptical distributions. The method is based on a characterization of probability distributions…

We propose a new asymptotic test for the separability of a covariance matrix. The null distribution is valid in wide matrix elliptical model that includes, in particular, both matrix Gaussian and matrix $t$-distribution. The test is fast to…

Modeling stock returns is not a new task for mathematicians, investors, and portfolio managers, but it remains a difficult objective due to the ebb and flow of stock markets. One common solution is to approximate the distribution of stock…

A new family of distributions indexed by the class of matrix variate contoured elliptically distribution is proposed as an extension of some bimatrix variate distributions. The termed \emph{multimatrix variate distributions} open new…

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…

Composite likelihood inference has gained much popularity thanks to its computational manageability and its theoretical properties. Unfortunately, performing composite likelihood ratio tests is inconvenient because of their awkward…

This paper develops a smooth test of goodness-of-fit for elliptical distributions. The test is adaptively omnibus, invariant to affine-linear transformations and has a convenient expression that can be broken into components. These…

This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often possesses high order correlations among…

In the paper, multivariate probability distributions are considered that are representable as scale mixtures of multivariate elliptically contoured stable distributions. It is demonstrated that these distributions form a special subclass of…

Due to the broad applications of elliptical models, there is a long line of research on goodness-of-fit tests for empirically validating them. However, the existing literature on this topic is generally confined to low-dimensional settings,…

Regression analysis has always been a hot research topic in statistics. We propose a very flexible semi-parametric regression model called Elliptical Copula Regression (ECR) model, which covers a large class of linear and nonlinear…