generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …

incorporates a well-defined parameter of skewness. It is well-defined in the sense that the parameter of skewness is compatible … a measure of skewness in the sense of Oja (1981). In the special case considered by Fechner (1897) this measure and the … skewness parameter coincide. …

was refined by Ferreira and Steel. Up to now, it is an open question whether the famous skewness ordering of van Zwet will … be preserved for this proposal. There is a general condition under which the van Zwets skewness ordering will be …. Therefore, for the skewness mechanism we choose a special beta distribution with only one parameter. Then, we get three results …