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
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
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