In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. ...

Parametric families of multivariate nonnormal distributions have received considerable attention in the past few decades. The authors propose a new definition of a selection distribution that encompasses many existing ...

In this paper we discuss estimation and diagnostic procedures in elliptical multivariate regression models with equicorrelated random errors. Two procedures are proposed for the parameter estimation and the local influence ...

Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a ...

In this study, we deal with the problem of overdispersion beyond extra zeros for a collection of counts that can be correlated. Poisson, negative binomial, zero-inflated Poisson and zero-inflated negative binomial distributions ...

In this study, we deal with the problem of overdispersion beyond extra zeros for a collection of counts that can be correlated. Poisson, negative binomial, zero-inflated Poisson and zero-inflated negative binomial distributions ...

The entropy and mutual information index are important concepts developed by Shannon in the context of information theory. They have been widely studied in the case of the multivariate normal distribution. We first extend ...