Abstract
Often we are not interested merely in a single random variable but rather in the joint behavior of several random variables, for example, returns on several assets and a market index. Multivariate distributions describe such joint behavior. This chapter is an introduction to the use of multivariate distributions for modeling financial markets data.
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Keywords
- Covariance Matrix
- Fisher Information Matrix
- Multivariate Normal Distribution
- Multivariate Distribution
- Tail Dependence
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© 2011 Springer Science+Business Media, LLC
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Ruppert, D. (2011). Multivariate Statistical Models. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7787-8_7
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DOI: https://doi.org/10.1007/978-1-4419-7787-8_7
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Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-7786-1
Online ISBN: 978-1-4419-7787-8
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