Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
From MaRDI portal
Publication:2514604
Recommendations
- On the usefulness of the logarithmic skew normal distribution for describing claims size data
- Portfolio optimization for Student \(t\) and skewed \(t\) returns
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- A simple skewed distribution with asset pricing applications
- Objective Bayesian modelling of insurance risks with the skewed Student-\(t\) distribution
Cites work
- A general class of multivariate skew-elliptical distributions
- A multivariate skew-GARCH model
- A Test for Normality of Observations and Regression Residuals
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Coherent measures of risk
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- scientific article; zbMATH DE number 5640261 (Why is no real title available?)
- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- scientific article; zbMATH DE number 2174552 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Kernel density estimation of actuarial loss functions
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
- Minimum standards for investment performance: a new perspective on non-life insurer solvency
- Multivariate skew-normal distributions with applications in insurance
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Operational Risk
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
Cited in
(18)- Compound unimodal distributions for insurance losses
- Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness
- Skew-elliptical distributions with applications in risk theory
- Shape mixtures of skew-\(t\)-normal distributions: characterizations and estimation
- On the usefulness of the logarithmic skew normal distribution for describing claims size data
- Quantile-based optimal portfolio selection
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
- Nonparametric long term prediction of stock returns with generated bond yields
- Objective Bayesian modelling of insurance risks with the skewed Student-\(t\) distribution
- Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
- Stein’s Lemma for generalized skew-elliptical random vectors
- Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application
- Lower partial moments for skew elliptical distributions
- Range-based volatility modeling in financial markets using a family of scale mixtures of Birnbaum-Saunders distribution
- Hidden semi-Markov models for rainfall-related insurance claims
- A proof for the existence of multivariate singular generalized skew-elliptical density functions
- Portfolio optimization with robust stochastic dominance testing: a genetic algorithm approach
- Nonparametric prediction of stock returns based on yearly data: the long-term view
This page was built for publication: Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2514604)
