Search results for "EXPONENTIAL DISTRIBUTIONS"
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A CLASS OF MULTIVARIATE TRANSFORMED-EXPONENTIAL DISTRIBUTIONS
2013
In finance it is commonly accepted that heavy-tailed distributions are appropriate for modelling financial asset return variables and part of the financial literature has recently focused on them. Much less attention has been dedicated to the construction of joint models of asset returns unable to describe an adequate dependence structure between all these variables. In this paper we propose a procedure for constructing multivariate distributions with given heterogeneous heavy-tailed marginal distributions as a possible (under certain conditions) alternative to the copula approach. The procedure bases on the marginal transformation method and, for given plausible specifications of the margi…
A class of multivariate type I generalized logistic distributions
2010
The logistic distribution has found important applications in many different fields and several different forms of generalizations have been proposed in the literature. However it seems, with a few exceptions, that there are not in the literature forms of multivariate generalized logistic distributions. In this paper we focus on the type I generalized logistic distribution and, based on a procedure of multivariate transformation of multivariate exponential distributions, we introduce a class of multivariate type I generalized logistic distributions. We provide some examples of bivariate and multivariate distributions of this class.