scholarly journals The effects of skewness on hedging decisions: an application of the skew-normal distribution in WTI and Brent futures

Author(s):  
Xing Yu ◽  
Xinxin Wang ◽  
Yuxia Wang ◽  
Yanyan Li
Author(s):  
Reinaldo B. Arellano-Valle ◽  
Adelchi Azzalini

AbstractFor the family of multivariate probability distributions variously denoted as unified skew-normal, closed skew-normal and other names, a number of properties are already known, but many others are not, even some basic ones. The present contribution aims at filling some of the missing gaps. Specifically, the moments up to the fourth order are obtained, and from here the expressions of the Mardia’s measures of multivariate skewness and kurtosis. Other results concern the property of log-concavity of the distribution, closure with respect to conditioning on intervals, and a possible alternative parameterization.


Symmetry ◽  
2021 ◽  
Vol 13 (5) ◽  
pp. 815
Author(s):  
Christopher Adcock

A recent paper presents an extension of the skew-normal distribution which is a copula. Under this model, the standardized marginal distributions are standard normal. The copula itself depends on the familiar skewing construction based on the normal distribution function. This paper is concerned with two topics. First, the paper presents a number of extensions of the skew-normal copula. Notably these include a case in which the standardized marginal distributions are Student’s t, with different degrees of freedom allowed for each margin. In this case the skewing function need not be the distribution function for Student’s t, but can depend on certain of the special functions. Secondly, several multivariate versions of the skew-normal copula model are presented. The paper contains several illustrative examples.


2005 ◽  
Vol 19 (3) ◽  
pp. 205-214 ◽  
Author(s):  
G. Mateu-Figueras ◽  
V. Pawlowsky-Glahn ◽  
C. Barceló-Vidal

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