Multivector variate distributions: An application in Finance

TL;DR

This paper introduces multivector variate distributions, a new family based on elliptically contoured distributions, with applications in finance and comparisons to traditional methods.

Contribution

It proposes a novel family of multivariate distributions and derives specific cases, connecting existing distributions as corollaries, with a focus on financial applications.

Findings

New multivector variate distributions introduced

Several special cases derived and related to existing distributions

Application in finance compared with traditional methods

Abstract

A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate distributions are obtained and a number of published multivariate distributions in another contexts are found as simple corollaries. An application of interest in finance is full derived and compared with the traditional methods.