Fitting asset returns to skewed distributions : are the skew-normal and skew-student good models?
Year of publication: |
2014
|
---|---|
Authors: | Eling, Martin |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 45-56
|
Subject: | Goodness-of-fit | Risk measurement | Skew-normal | Skew-student | Asset management | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement |
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