Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?

DOI10.1016/j.insmatheco.2014.08.004zbMath1306.91075OpenAlexW2063972848MaRDI QIDQ2514604

Martin Eling

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.004

zbMATH Keywords

goodness-of-fitskew-normalrisk measurementasset managementskew-Student

Mathematics Subject Classification ID

Related Items (11)

Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ Compound unimodal distributions for insurance losses ⋮ Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model ⋮ Nonparametric prediction of stock returns based on yearly data: the long-term view ⋮ 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 ⋮ A proof for the existence of multivariate singular generalized skew-elliptical density functions ⋮ Quantile-based optimal portfolio selection

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