A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
Bibliographic Data
| ID | 19418605 |
|---|---|
| Authors | Luc Bauwens (0000-0002-2045-1234, UCLouvain), Sébastien Laurent (0000-0002-4148-756X, UCLouvain) |
| Year | 2005 |
| Volume | 23 |
| Issue | 3 |
| Pages | 346-354 |
| Publication date | 2005-07-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500104000000523 |
| OpenAlex | W2078262781 |
| Language | EN |
| Citations received | 14 |
| References cited | 34 |
We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a “multivariate skew-Student” density in which each marginal has a specific asymmetry coefficient. Combined with a multivariate generalized autoregressive conditional heteroscedasticity model, this new family of distributions is found to be more useful than its symmetric counterpart for modeling stock returns and especially for forecasting the value-at-risk of portfolios
Autoregressive conditional heteroskedasticity · Autoregressive model · Econometrics · Heteroscedasticity · Kurtosis · Multivariate analysis · Multivariate statistics · Skew · Skewness · Statistics · Computer Science · Financial Risk and Volatility Modeling · Insurance and Financial Risk Management · Mathematics · Statistical Distribution Estimation and Applications
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| Unique citing works | 14 |
|---|---|
| Citations per year | 0,93 |
| Citation span | 2011 - 2026 (16) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 13 |