Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling

Alexey Balaev ()

Applied Econometrics, 2011, vol. 23, issue 3, 79-97

Abstract: A modification of multivariate t-distribution with vector of degrees of freedom is suggested: multivariate t-distribution with vector of skewness parameters and vector of degrees of freedom is introduced. A special case of this distribution is already known multivariate skew t-distribution with scalar parameter of degrees of freedom. Application of the constructed distribution in BEKK models is considered.

Keywords: multivariate t-distribution; skewness; heavy tails; conditional density function (search for similar items in EconPapers)
JEL-codes: C14 C16 C32 (search for similar items in EconPapers)
Date: 2011
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