Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069374 | Finance Research Letters | 2016 | 6 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Denis-Alexandre Trottier, David Ardia,