Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness

Michael Hanke, Spiridon Penev, Wolfgang Schief and Alex Weissensteiner

European Journal of Operational Research, 2017, vol. 263, issue 2, 510-523

Abstract: We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate skewness. If required for financial applications, absence of arbitrage can be ensured. Potential applications include the simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness, which is more informative for these applications than the Mardia skewness previously used in this context.

Keywords: Multivariate statistics; ROM simulation; Multivariate skewness (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:263:y:2017:i:2:p:510-523

DOI: 10.1016/j.ejor.2017.05.023

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