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The impact of parameter and model uncertainty on market risk predictions from GARCH-type models
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Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
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.