Estimating UK factor models using the multivariate skew normal distribution-Reference-Cited by-同舟云学术

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Estimating UK factor models using the multivariate skew normal distribution

Published:2005 Issue: Volume: Page:12-29
ISSN:
Container-title:Linear Factor Models in Finance
language:
Short-container-title:

Author:

Adcock C.J.

Publisher

Elsevier

Reference39 articles.

1. Capital asset pricing for UK stocks under the multivariate skew normal distribution;Adcock,2003

2. Portfolio selection based on the multivariate-skew normal distribution;Adcock,2001

3. Forecasting factor returns: An intriguing possibility;Arnott;JPM,1990

4. A class of distributions which includes the normal ones;Azzalini;Scandinavian Journal of Statistics,1985

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Portfolio separation properties of the skew-elliptical distributions, with generalizations;Statistics & Probability Letters;2011-12

2. Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter;International Journal of Managerial Finance;2010-09-28

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