A new class of multivariate skew densities, with application to GARCH models
Luc Bauwens () and
Sébastien Laurent ()
No 2002020, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when applied to the product of independent univariate Student densities, it provides a "multivariate skew density with independent Student components" for which each marginal has a different asymmetry coefficient and number of degrees of freedom. Combined with a multivariate GARCH model, this new family of distributions (that generalizes the work of Fernandez and Steel, 1998) is potentially useful for modelling stock returns, which a are known to be conditionally heteroskedastic, fat-tailed, and often skew. In an application to the daily returns of the CAC40, NASDAQ, NIKKEI and the SMI, it is found that this density suits well the data and clearly outperforms its symmetric competitors.
Keywords: multivariate skew density; multivariate Student density; multivariate GARCH models (search for similar items in EconPapers)
JEL-codes: C13 C32 C52 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Working Paper: A New Class of Multivariate skew Densities, with Application to GARCH Models (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2002020
Access Statistics for this paper
More papers in CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().