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Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution
9 references·13 citing·43 second hop
Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution (2009)Asset pricing and portfolio selection bas…Portfolio selection with higher moments (2010)Portfolio selection with high…A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)A New Class of Multivariate S…Copula Methods in Finance (2004)Copula Methods in FinanceEmpirical distributions of stock returns: European securities markets, 1990-95 (2001)Empirical distributions of st…Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Uti…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Forecasting Bitcoin with technical analysis: A not-so-random forest? 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this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2010Portfolio selection with higher moments535 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models285 cited
  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems202 cited
  • 2001Empirical distributions of stock returns: European securities markets, 1990-95112 cited

Cited by

  • 2016Asymmetries and Portfolio Choice85 cited
  • 2009Shape-based scenario generation using copulas67 cited
  • 2021Forecasting Bitcoin with technical analysis: A not-so-random forest?66 cited
  • 2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model65 cited
  • 2013Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution57 cited

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2016
Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach
46 cited
  • 2019Kurtosis-based projection pursuit for outlier detection in financial time series42 cited
  • 2009A numerical evaluation of meta-heuristic techniques in portfolio optimisation37 cited
  • 2014Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?33 cited
  • 2003Conditional Dependency of Financial Series: The Copula-Garch Model32 cited
  • 2020Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing28 cited
  • 2017Robust normal mixtures for financial portfolio allocation25 cited
  • 2012The Four‐moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation25 cited