This paper describes a general procedure for constructing a class of asymmetric distributions based on symmetric parametric distribution families, and investigates some inherent relationships between the constructed asymmetric distribution and the original symmetric ones. This procedure is used...

GARCH models and their variants are usually estimated using quasi-Maximum Likelihood (QML). Recent work has shown that by using estimates of quadratic variation, for example from the daily realized volatility, it is possible to estimate these models in a different way which incorporates the...