The skewed t

DOI10.1016/S0731-9053(08)22003-7MaRDI QIDQ3572008zbMATH OpenFDO

Authors Wen-Bo Hu, Alec Kercheval

Publication date 30 June 2010

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

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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