References
- Aas, K. and I.H. Haff. 2006. The generalized hyperbolic skew Student's t-distribution. Journal of Financial Econometrics 4, no. 2: 275–309.
- Abramowitz, M. and I.A. Stegun. 1972. Handbook of mathematical function. New York, NY: Dover.
- Adcock, C.J. 2010. Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution. Annals of Operations Research 176, no. 1: 221–34.
- Adcock, C.J. and K. Shutes. 2001. Portfolio selection based on the multivariate skew-normal distribution. In Financial modeling, ed. A. Skulimowski. Krakow: Progress and Business Publishers.
- Arrellano-Valle, R.B. and M.G. Genton. 2008. Multivariate extended skew-t distribution and related families with applications. Technical Report No. 080628, Department of Econometrics, University of Geneva.
- Azzalini, A. and A. Capitanio. 2003. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution. Journal of the Royal Statistical Society B 65, no. 2: 579–602.
- Branco, M.D. and D.K. Dey. 2001. A general class of multivariate skew-elliptical distributions. Journal of Multivariate Analysis 79, no. 1: 99–113.
- Brooks, C., A. Cerny, and J. Miffre. 2007. Optimal hedging with higher moments. Reading: Mimeo, ICMA Centre, University of Reading.
- Cvitanic, J., V. Polimenis, and F. Zapatero. 2008. Optimal portfolio allocation with higher moments. Annals of Finance 4, no. 1: 1–28.
- Dittmar, R.F. 2002. Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. Journal of Finance 57, no. 1: 369–403.
- Eling, M., S.K. Kattumannil, and L. Tibiletti. 2010. How skewness influences optimal allocation in a risky asset? Germany: Mimeo, Institute of Insurance Science, University of Ulm.
- Fernandez, C. and M. Steel. 1998. On Bayesian modeling of fat tails and skewness. Journal of the American Statistical Association 93, no. 441: 359–71.
- Gilbert, S., S.K. Jones, and G.H. Morris. 2006. The impact of skewness in the hedging decision. Journal of Futures Markets 26, no. 5: 503–20.
- Hansen, B. 1994. Autoregressive conditional density estimation. International Economic Review 35, no. 3: 705–30.
- Harvey, C., J. Liechty, M. Liechty, and P. Mueller. 2010. Portfolio selection with higher moments. Quantitative Finance 10, no. 5: 469–85.
- Hlawatsch, S. and P. Reichling. 2010. Portfolio management under asymmetric dependence and distribution. Working Paper No. 17/2010, Department of Banking and Finance, Faculty of Economics and Management, Otto-von-Guericke-University Magdeburg, Magdeburg, Germany.
- Hu, W. and A.N. Kercheval. 2007. Portfolio optimization for t and skewed-t returns. Tallahassee, FL: Mimeo, Department of Mathematics, Florida State University.
- Jones, M.C. and M.J. Fady. 2003. A skew extension of the t distribution with applications. Journal of the Royal Statistical Society B 65: 159–74.
- Lien, D. 2010. The effects of skewness on optimal production and hedging decisions: An application of the skew-normal distribution. Journal of Futures Markets 30, no. 3: 278–89.
- Mitton, T. and K. Vorkink. 2007. Equilibrium under diversification and the preference for skewness. Review of Financial Studies 20, no. 4: 1255–88.
- Scott, R. and P.A. Horvath. 1980. On the direction of preference for moments of higher order than the variance. Journal of Finance 35, no. 4: 915–9.
- Zhu, D. and J.W. Galbraith. 2009. A generalized asymmetric Student-t distribution with application to financial econometrics. Scientific Series No. 2009s-13, CIRANO, Montreal, Canada.