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

Luc Bauwens and Sébastien Laurent

No 5, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Multivariate skewness; Multivariate Student density; Multivariate GARCH models. (search for similar items in EconPapers)
JEL-codes: C13 C32 C52 (search for similar items in EconPapers)
Date: 2002-07-01
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Working Paper: A new class of multivariate skew densities, with application to GARCH models (2002)
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