Two-Sided Skew and Shape Dynamic Conditional Score Models

Alberto Bernardi () and Mauro Bernardi ()
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Alberto Bernardi: University of Padova, Department of Statistical Sciences
Mauro Bernardi: University of Padova, Department of Statistical Sciences

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 121-124 from Springer

Abstract: Abstract In this paper we introduce a family of 2-Sided Skew and Shape distributions that accounts for asymmetry in the tails decay. The proposed distributions account for many of the stylised fact frequently observed in financial time series, except for the time-varying nature of moments of any order. To this aim we extend the model to a dynamic framework by means of the score updating mechanism. The asymptotic theory of the proposed model is derived under mild conditions.

Keywords: Dynamic models; Skew and shape distribution (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_22

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DOI: 10.1007/978-3-319-89824-7_22

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