Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter
Author:
Publisher
Emerald
Subject
Finance,Business, Management and Accounting (miscellaneous)
Reference28 articles.
1. On the coherence of expected shortfall
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1. A Time-inhomogeneous Skew Vasicek Model With Jumps and Its Discrete-time Approximation;SSRN Electronic Journal;2024
2. Pricing American Options under Azzalini Ito-McKean Skew Brownian Motions;Applied Mathematics and Computation;2023-08
3. Study of European style options under Itô-McKean Brownian motion with Azzalini skew-normal distribution;Filomat;2022
4. Dichotomous unimodal compound models: application to the distribution of insurance losses;Journal of Applied Statistics;2020-07-07
5. Shapiro–Wilk test for skew normal distributions based on data transformations;Journal of Statistical Computation and Simulation;2019-08-27
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