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Selection of appropriate copula family for multivariate Monte Carlo simulation of asset returns
shawn tan
·
Apr 3, 2020
·
r-sig-finance
Hi R Sig Finance mailing list, I am currently trying to perform a multivariate Monte Carlo simulation of asset class returns. I found that using copulas can overcome the non-normality of asset class returns as well as better simulate...
Multivariate random number generation for skewed distribution of asset class returns
shawn tan
·
Jan 14, 2020
·
r-sig-finance
Hi R-SIG-Finance mailing list, I have a query about performing a Monte Carlo random number generation for asset class returns which accounts for the distribution of the asset class (mean, variance, skewness and possibly kurtosis) while also taking...
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