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Volume 21, Issue 13-14

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The European Journal of Finance, Volume 21, Issue 13-14 (2015)

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The European Journal of Finance, Volume 21, Issue 13-14 (2015)

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Skew-elliptical distributions in finance and skewness in asset returns

Original Articles

Article

Robust portfolio estimation under skew-normal return processes

Masanobu Taniguchi, Alexandre Petkovic, Takehiro Kase, Thomas DiCiccio & Anna Clara Monti

Pages: 1091-1112

Published online: 06 Feb 2012

AbstractforRobust portfolio estimation under skew-normal return processes | Full Text | References | PDF (1.4 MB)

215 Views
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Article

Modelling multivariate skewness in financial returns: a SGARCH approach

Giovanni De Luca & Nicola Loperfido

Pages: 1113-1131

Published online: 06 Feb 2012

AbstractforModelling multivariate skewness in financial returns: a SGARCH approach | Full Text | References | PDF (173.9 KB)

401 Views
26 CrossRef citations
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Article

Effects of skewness and kurtosis on production and hedging decisions: a skewed t distribution approach

Donald Lien & Yaqin Wang

Pages: 1132-1143

Published online: 09 Mar 2012

AbstractforEffects of skewness and kurtosis on production and hedging decisions: a skewed t distribution approach | Full Text | References | PDF (199.4 KB)

396 Views
10 CrossRef citations
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Article

The role of multivariate skew-Student density in the estimation of stock market crashes

Lei Wu, Qingbin Meng & Julio C. Velazquez

Pages: 1144-1160

Published online: 26 Mar 2012

AbstractforThe role of multivariate skew-Student density in the estimation of stock market crashes | Full Text | References | PDF (224.7 KB)

240 Views
8 CrossRef citations
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Article

Skewed exchange-rate forecasts

Christian Pierdzioch & Georg Stadtmann

Pages: 1161-1175

Published online: 29 Mar 2012

AbstractforSkewed exchange-rate forecasts | Full Text | References | PDF (215.7 KB)

352 Views
2 CrossRef citations
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Article

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Taras Bodnar & Arjun K. Gupta

Pages: 1176-1194

Published online: 16 Jul 2012

AbstractforRobustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model | Full Text | References | PDF (235.6 KB)

302 Views
21 CrossRef citations
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Article

Financial density selection

J. Miguel Marin & Genaro Sucarrat

Pages: 1195-1213

Published online: 31 Aug 2012

AbstractforFinancial density selection | Full Text | References | PDF (331 KB)

124 Views
1 CrossRef citations
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Article

Multivariate asset return prediction with mixture models

Marc S. Paolella

Pages: 1214-1252

Published online: 03 May 2013

AbstractforMultivariate asset return prediction with mixture models | Full Text | References | PDF (1.1 MB)

522 Views
22 CrossRef citations
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Article

Skewed distributions in finance and actuarial science: a review

Christopher Adcock, Martin Eling & Nicola Loperfido

Pages: 1253-1281

Published online: 25 Oct 2012

AbstractforSkewed distributions in finance and actuarial science: a review | Full Text | References | PDF (226.4 KB)

1879 Views
99 CrossRef citations
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The European Journal of Finance (Vol.21, Iss.13-14, 2015)

Skew-elliptical distributions in finance and skewness in asset returns

Skew-elliptical distributions in finance and skewness in asset returns

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