Convolution-t Distributions

• Tác giả: Peter Reinhard Hansen, Chen Tong
• Ngôn ngữ: eng
• Ký hiệu phân loại: 612.8255 Nervous system Sensory functions
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 202175

Tóm tắt

We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody cluster structures with flexible nonlinear dependencies and heterogeneous marginal distributions. Importantly, convolution-t distributions have simple density functions that facilitate estimation and likelihood-based inference. The characteristic features of convolution-t distributions are found to be important in an empirical analysis of realized volatility measures and help identify their underlying factor structure.