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https://doi.org/10.1016/j.jmva.2007.05.006
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Cite Journal: Journal of Multivariate Analysis |  Publication Date: May 31, 2007 |
 Citations: 62 |  License type: elsevier-specific: oa user license |
Affiliation: University of Haifa, ETH Zurich
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.
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