The skew-normal and related families / by Azzalini, Adelchi, Capitanio, Antonella, 1964-

Table of Contents: “…Modulation of symmetric densities; 2. The skew-normal distribution: probability; 3. The skew-normal distribution: statistics; 4. …”
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Linear factor models in finance / by Knight, John L.

Table of Contents: “…Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. …”
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Econometric analysis of financial and economic time series.

Table of Contents: “…Cover -- Contents -- Dedication -- List of Contributors -- Introduction -- Good Ideas -- The Creativity Process -- Reference -- Part I: Multivariate Volatility Models -- A Flexible Dynamic Correlation Model -- Introduction -- Existing Multivariate GARCH Models -- Simulations -- Empirical Results -- Conclusions -- Notes -- Acknowledgments -- References -- A Multivariate Skew-Garch Model -- Introduction -- The Skew-Normal Distribution -- The SGARCH Model -- Conditional Distributions and Related Moments -- Unconditional Distributions -- Analysis of Some Financial Markets -- Conclusions -- References -- Appendix -- Semi-Parametric Modelling of Correlation Dynamics -- Introduction -- Dynamic Conditional Correlation Models -- A Semi-Parametric Conditional Correlation Model -- Empirical Application -- Concluding Remarks -- Notes -- Acknowledgments -- References -- Appendix: Assumptions and Proof of Theorem 1 -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals -- Introduction -- The Implicit Arch Model in the Univariate Case: A Brief Review -- A Multivariate Heavy-Tailed Distribution for ARCH/GARCH -- Numerical Maximum Likelihood -- The Bivariate Paradigm -- A Real Data Example -- Notes -- References -- A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications -- Introduction -- Basic Properties of the Models and the Test Statistic -- Distribution of the Sum of Squared Residual Autocorrelations -- Monte Carlo Experiments -- Empirical Examples -- Conclusions -- Acknowledgements -- References -- Appendix: Lemmas -- Part II: High Frequency Volatility Models -- Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations -- Introduction -- Theoretical Comparison of Estimators with different Sampling Frequencies -- Some Examples of Asymptotically Equivalent Filters -- Monte CARLO Study -- Conclusions -- Notes -- Acknowledgments -- References -- Model-Based Measurement of Actual Volatility in High-Frequency Data -- Introduction -- Models for High-Frequency Prices -- Estimation Methods -- Empirical Results for Three Months of IBM Prices -- Discussion and Conclusion -- References -- Cubic Spline for Intra-Daily Volatility Pattern -- Approximating Model for SV with Noise -- Noise Reduced Realized Volatility: A Kalman Filter Approach -- Introduction -- Model -- Multivariate Normal Approach -- Implementation -- Performance -- Conclusions -- Notes -- References -- Part III: Univariate Volatility Models -- Modeling the Asymmetry of Stock Movements Using Price Ranges -- Introduction -- Model Specification, Estimation, and Properties -- An Empirical Example Using the S & P 500 Daily Index, 1962/01/03-2000/08/25 -- Conclusion -- Notes -- Acknowledgments -- Ref.…”
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Practical methods of financial engineering and risk management : tools for modern financial professionals / by Chatterjee, Rupak

Table of Contents: “…Normalization of a HistogramMixture of Gaussians: Creating a Distribution with High Kurtosis -- Random Variable Approach -- Density Approach -- Skew Normal Distribution: Creating a Distribution with Skewness -- Calibrating Distributions through Moment Matching -- Calibrating a Mixed Gaussian Distribution to Equity Returns -- Fitting by Hand -- Chi-Squared Fitting -- Calibrating a Generalized Student's- t Distribution to Equity Returns -- Calibrating a Beta Distribution to Recovery Rates of Defaulted Bonds -- Basic Risk Measures…”
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Mixture models : parametric, semiparametric, and new directions / by Yao, Weixin, Xiang, Sijia

Table of Contents: “…Scale mixtures of skew-normal distributions -- 7.5. Robust EM-type algorithm for log-concave mixture regression models -- 7.6. …”
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