Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

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

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Year of publication:	2020
Authors:	Hanke, Michael
Other Persons:	Penev, Spiridon (contributor) ; Schief, Wolfgang (contributor) ; Weissensteiner, Alex (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Simulation \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Statistische Methodenlehre \| Statistical theory
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]