We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...