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Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
Auteur(s)
Trottier, Denis-Alexandre
Date de parution
2016-8
In
Finance Research Letters
No
18
De la page
311
A la page
316
Revu par les pairs
1
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.
Identifiants
Type de publication
journal article
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