{"title":"椭圆和对数椭圆分布的多元范围风险值和协方差风险度量","authors":"Baishuai Zuo, Chuancun Yin, Jing Yao","doi":"10.1080/03610926.2024.2372472","DOIUrl":null,"url":null,"abstract":"In this article, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"32 1","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions\",\"authors\":\"Baishuai Zuo, Chuancun Yin, Jing Yao\",\"doi\":\"10.1080/03610926.2024.2372472\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this article, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management...\",\"PeriodicalId\":10531,\"journal\":{\"name\":\"Communications in Statistics - Theory and Methods\",\"volume\":\"32 1\",\"pages\":\"\"},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2024-07-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Communications in Statistics - Theory and Methods\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610926.2024.2372472\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Statistics - Theory and Methods","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610926.2024.2372472","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
In this article, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management...
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The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.
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