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Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models

Denis-Alexandre Trottier & David Ardia

Résumé We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. We discuss several applications that are relevant for the purpose of estimating asymmetric conditional volatility models under skewed distributions.
   
Mots-clés Asymmetric GARCH, Backtesting, Bayesian, Maximum likelihood, Skewness
   
Citation Trottier, D. A., & Ardia, D. (2016). Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models. Finance Research Letters, 18, 311-316.
   
Type Article de périodique (Anglais)
Date de publication 8-2016
Nom du périodique Finance Research Letters
Volume 18
Pages 311-316
URL http://www.sciencedirect.com/science/article/pii/S1544612...
Liée au projet Gestion des risques financiers : l'incidence de l'estimat...