Abstract
For the family of multivariate normal distribution functions, Stein's Lemma presents a useful tool for calculating covariances between functions of the component random variables. Motivated by applications to corporate finance, we prove a generalization of Stein's Lemma to the family of elliptical distributions.
Originalsprache | Englisch |
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Seiten (von - bis) | 912-927 |
Seitenumfang | 16 |
Fachzeitschrift | Journal of Multivariate Analysis |
Jahrgang | 99 |
Ausgabenummer | 5 |
DOIs | |
Publikationsstatus | Veröffentlicht - Mai 2008 |
Extern publiziert | Ja |
Bibliographische Notiz
Funding Information:The first author acknowledges financial support by the FIM, ETH Zurich. The second author was supported by RiskLab, ETH Zurich. The authors thank Paul Embrechts for bringing Froot [8] to their attention and for fruitful discussions. They are grateful to the referees for their thorough comments and suggestions.