32 citations · 67 across the 29 of their papers we have counts for
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stat.CO2019
Normal variance mixtures: Distribution, density and parameter estimation
Erik Hintz, Marius Hofert, Christiane Lemieux
Normal variance mixtures are a class of multivariate distributions that generalize the multivariate normal by randomizing (or mixing) the covariance matrix via multiplication by a…
q-fin.RM2019★ 2 cited
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations
Takaaki Koike, Marius Hofert
We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jt…