A new generalization of skew-T distribution with volatility models
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Publication:4960607
Cites work
- A conditional-SGT-VaR approach with alternative GARCH models
- A flexible generalization of the skew normal distribution based on a weighted normal distribution
- Alpha-skew generalized t distribution
- Alpha-skew-normal distribution
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Flexible Class of Skew-Symmetric Distributions
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- Forecasting VaR models under different volatility processes and distributions of return innovations
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- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- The use of GARCH models in VaR estimation
Cited in
(7)- Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions
- Two-sided exponential-geometric distribution: inference and volatility modeling
- The generalized Gudermannian distribution: inference and volatility modelling
- Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
- On improved volatility modelling by fitting skewness in ARCH models
- A new approach to Value-at-Risk: GARCH-TSLx model with inference
- Stochastic Volatility Model with Time‐dependent Skew
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