Multivariate Pareto Distributions: Inference and Financial Applications

DOI10.1080/03610920902833560zbMath1189.91228OpenAlexW1989736608MaRDI QIDQ3566549

Efthymios G. Tsionas, Emmanuel N. Papadakis

Publication date: 8 June 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902833560

zbMATH Keywords

Bayesian inferenceMCMCfinancial crisesfinancial contagioneconometricsmultivariate Pareto distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (2)

A pseudo-Pareto distribution and concomitants of its order statistics ⋮ On Marshall-Olkin type distribution with effect of shock magnitude

Uses Software

• AS 287

Cites Work

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• Marginal Likelihood from the Gibbs Output
• Sampling-Based Approaches to Calculating Marginal Densities
• Bayesian Estimation and Prediction for Pareto Data
• Multivariate Pareto Distributions
• Using simulation methods for bayesian econometric models: inference, development,and communication
• Adaptive Rejection Sampling for Gibbs Sampling
• Contemporary Bayesian Econometrics and Statistics

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