Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...