1 Portfolio construction incorporating asymmetric dependence structures: a user's guide

Anthony Hatherley, Jamie Alcock

Accounting and Finance, Vol. 47, No. 3, pp. 447-472, September 2007

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-629X.2007.00219.x/abstract;jsessionid=FA2139216CEDB3AF0CDB80E67181A563.d03t04?systemMessage=Wiley+Online+Library+will+be+disrupted+on+7+July+from+10%3A00-12%3A00+BST+%2805%3A00-07%3A00+EDT%29+for+essential+maintenance&userIsAuthenticated=false&deniedAccessCustomisedMessage=

2 The distribution of stock returns: international evidence

Amado Peiró  

Applied Financial Economics
Volume 4, Issue 6, 1994

http://www.tandfonline.com/doi/abs/10.1080/758518675

3  Turn-of-month and pre-holiday effects on stock returns: Some internationalevidence
•Charles Bram Cadsby  
•Mitchell Ratner
•
Journal of Banking & Finance
Volume 16, Issue 3, June 1992, Pages 497–509

http://www.sciencedirect.com/science/article/pii/037842669290041W

4  Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei,Rachev, Svetlozar,Stoyanov, Stoyan, Fabozzi, Frank J.

Studies in Nonlinear Dynamics & Econometrics. Volume 12, Issue 2, Pages –, ISSN (Online) 1558-3708, DOI: 10.2202/1558-3708.1572, May 2008
http://www.degruyter.com/view/j/snde.2008.12.2/snde.2008.12.2.1572/snde.2008.12.2.1572.xml

5 The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation

Olcay Arslan Ali İ. Genç

Statistics: A Journal of Theoretical and Applied Statistics
Volume 43, Issue 5, 2009

http://www.tandfonline.com/doi/abs/10.1080/02331880802401241