Data from many applied fields exhibit both heavy tail and skewness behavior. For this reason, in the last few decades, there has been a growing interest in exploring parametric classes of ...

This is a preview. Log in through your library . Abstract In this paper, we introduce the multivariate skew-normal model in the context of measurement error models in ...

Although commodities do occasionally crash, in general commodity prices are positively kurtotic (fat-tailed) and positively skewed. This is in contradistinction to equity prices, which are positively ...

The relentless march towards shrinking technology nodes has ushered in a new era of intricate semiconductor designs characterized by a proliferation of transistors. This intensifying complexity brings ...

In this paper we propose a new pricing methodology for European-style multi-asset derivatives based on a family of normal mean–variance mixture copulas. The goal is to develop a copula-based method ...

The CBOE Volatility Index (VIX) isn't the only way to measure expected volatility The CBOE Volatility Index (VIX) is widely known as the market’s “fear gauge” because it measures expected volatility ...

Over the long run, 55% of US stocks underperformed US Treasury Bill returns, meaning that more than half of individual stocks did worse than the safest government-backed investments. While traditional ...

There is strong evidence of a negative cross-sectional relationship between realized skewness and future stock returns - stocks with negative skewness are compensated with high future returns for ...