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 ...

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 ...

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 ...