Nunzio, Cappuccio; Diego, Lubian; Davide, Raggi - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1-31
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the...