Understanding the Cboe SKEW Index: Volatility and Risk Prediction

Discover how the Cboe SKEW Index assesses market volatility and perceived tail-risk in the S&P 500, despite its limitations ...
Nature

Statistical Modeling of Skew-Normal Distributions

Statistical modeling of skew-normal distributions provides a versatile framework for capturing asymmetry in univariate and multivariate data. By introducing a shape parameter to the classical normal ...

Understanding Normal Distribution: Key Concepts and Financial Uses

Discover normal distribution—a critical concept in finance—and its key properties, formula, and real-world applications.
JSTOR Daily

Density Expansions Based on the Multivariate Skew Normal Distribution

In this paper the multivariate skew normal distribution, introduced by Azzalini and Dalla Valle (1996), is used as a basis in density expansions. A short summary of main properties of the distribution ...
Risk

Pricing the correlation skew with normal mean–variance mixture copulas

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 ...
Nature

Differentially private density estimation with skew-normal mixtures model

The protection of private data is a hot research issue in the era of big data. Differential privacy is a strong privacy guarantees in data analysis. In this paper, we propose DP-MSNM, a parametric ...