A New Class of Multivariate Skew Densities, with Application to GARCH Models

Journal of Business and Economic Statistics, 23/3, 346-354, 2005.

44 Pages Posted: 14 Apr 2005

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-Student density, in which each marginal has a specific asymmetry coefficient. Combined with a multivariate GARCH model, this new family of distributions is found to be more useful than its symmetric counterpart for modelling stock returns and especially forecasting the Value-at-Risk of portfolios.

Keywords: Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk

JEL Classification: C13, C32, C52

Suggested Citation

Bauwens, Luc and Laurent, Sébastien, A New Class of Multivariate Skew Densities, with Application to GARCH Models. Journal of Business and Economic Statistics, 23/3, 346-354, 2005. , Available at SSRN: https://ssrn.com/abstract=691865

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Sébastien Laurent

AMSE ( email )

2 rue de la Charité
Marseille, 13236
France

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