The Continuous Hidden Threshold Mixed Skew-Symmetric Distribution

Mohammed Bouaddi, Rachid Belhachemi and Mohamed Douch

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores a way to construct a new family of univariate probability distributions where the parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution nests two well known families of distributions, namely, the skew normal family of Azzalini (1985) and a mixture of two Arnold et al. (1993) distribution. We provide a stochastic representation of the distribution which enables the user to easily simulate the data from the underlying distribution using generated uniform and normal variates. We also derive the moment generating function and the moments. The distribution comprises eight free parameters that make it very flexible. This flexibility allows the user to capture many stylized facts about the data such as the regime dependence, the asymmetry and fat tails as well as thin tails.

Keywords: Continuous Hidden threshold; Mixture Distribution; Skew-Symmetric distribution; Split Distribution. (search for similar items in EconPapers)
JEL-codes: C4 C46 C6 (search for similar items in EconPapers)
Date: 2013-10-19
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https://mpra.ub.uni-muenchen.de/71002/1/MPRA_paper_71002.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70546

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