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Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?
16 references·0 citing·43 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2011Quantitative Risk Management985 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 2012Quantitative Risk Management374 cited
  • 2007Selecting copulas for risk management288 cited
  • 2002Modern Actuarial Risk Theory282 cited
  • 2012Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?163 cited
  • 2009Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution126 cited
  • 2006Multivariate skew-normal distributions with applications in insurance104 cited
  • 2003Kernel density estimation of actuarial loss functions89 cited
  • 2015Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula72 cited
  • 2008

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Skewed bivariate models and nonparametric estimation for the CTE risk measure
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