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Original Articles

Risk Modeling for Future Cash Flow Using Skew t-Copula

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Pages 2919-2925 | Received 19 Feb 2010, Accepted 20 Sep 2010, Published online: 09 Jun 2011

References

  • Azzalini , A. , Capitanio , A. ( 2003 ). Distributions generated by perturbation of symmetry with emphasis on the skew t-distribution . J. Roy. Statist. Soc. Ser B. Statist. Methodol. 65 : 367 – 389 .
  • Cherubini , U. , Luciano , E. , Vecchiato , W. ( 2004 ). Copula Methods in Finance . Chichester : Wiley .
  • Genest , C. , Rivest , L. ( 1993 ). Statistical inference procedures for bivariate archimedean copulas . J. Amer. Statist. Assoc. 88 : 1034 – 1043 .
  • Kollo , T. , Pettere , G. ( 2010 ). Parameter estimation for the multivariate skew t-copula . In: Jaworski , P. , Durante , F. , Härdle , W. , Rychlik , T. , eds. Copula Theory and Its Applications. Proceedings of the Workshop Held in Warsaw, 25–26 September 2009 . Heidelberg : Springer , pp. 289 – 298 .
  • Kotz , S. , Nadarajah , S. ( 2004 ). Multivariate t Distributions and Their Applications. Cambridge : Cambridge University Press .

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