Moments of Standardized Fernandez-Steel Skewed Distributions : Applications to the Estimation of GARCH-Type Models

We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. We discuss several applications that are relevant for the purpose of estimating asymmetric conditional volatility models under skewed distributions

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Year of publication:	2017
Authors:	Trottier, Denis-Alexandre
Other Persons:	Ardia, David (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 18, pp. 311-316, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 4, 2015 erstellt
Other identifiers:	10.2139/ssrn.2656377 [DOI]
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012971096