A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models

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  • 1 January 2005
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Abstract
Computes the log density function for a multivariate skew-t distribution. Bauwens & Laurent(2005), "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," JBES, vol 23, pp 346-354. (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.)
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