Multivariate Distributions¶
Introduction¶
References¶
| [1] | Azzalini, A. & Capitanio, A. (2003). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 65(2), 367–389. <http://www.jstor.org/stable/3647510> |
| [2] | Bauwens, L. & Laurent, S. (2005). A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models. Journal of Business and Economic Statistics, 23(3), 346–354. <http://www.jstor.org/stable/27638827> |
| [3] | Demarta, S. & McNeil, A. J. (2005). The t Copula and Related Copulas. International Statistical Review, 73(1), 111–129. <http://www.jstor.org/stable/25472643> |
| [4] | Jondeau, E. & Rockinger, M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7(2), 77–105. <https://jfec.oxfordjournals.org/content/7/2/77.full> |