A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
- 1 July 2005
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (3) , 346-354
- https://doi.org/10.1198/073500104000000523
Abstract
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-S...Keywords
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