The skewed t

DOI10.1016/S0731-9053(08)22003-7zbMATH Open1189.91205MaRDI QIDQ3572008FDOQ3572008

Authors: Wen-Bo Hu, Alec Kercheval 

Publication date: 30 June 2010

Published in: Econometrics and Risk Management (Search for Journal in Brave)

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Credit risk (91G40)

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