most citedMultivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions

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math.ST2021

Multivariate double truncated expectation and covariance risk measures for elliptical distributions

Baishuai Zuo, Chuancun Yin

The main objective of this work is to calculate the multivariate double truncated expectation (MDTE) and covariance (MDTCov) for elliptical distributions. We also consider double t…