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• W1667890022 abstract "We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a multivariate skew-Student density, in which each marginal has a specific asymmetry coefficient. Combined with a multivariate GARCH model, this new family of distributions is found to be more useful than its symmetric counterpart for modelling stock returns and especially forecasting the Value-at-Risk of portfolios." @default.
• W1667890022 created "2016-06-24" @default.
• W1667890022 creator A5067496081 @default.
• W1667890022 creator A5076785744 @default.
• W1667890022 date "2005-04-14" @default.
• W1667890022 modified "2023-09-22" @default.
• W1667890022 title "A New Class of Multivariate Skew Densities, with Application to GARCH Models" @default.
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• W1667890022 hasPublicationYear "2005" @default.
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