Résumé
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.
langue originale | Anglais |
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Pages (de - à) | 346-354 |
Nombre de pages | 9 |
journal | Journal of Business and Economic Statistics |
Volume | 23/3 |
Etat de la publication | Publié - 2005 |