It is well known that volatility asymmetry exists in financial markets. This paper reviews and investigates recently developed techniques for Bayesian estimation and model selection applied to a large group of modern asymmetric heteroskedastic models. These include the GJR-GARCH, threshold...

This paper studies a threshold extreme value distribution for modeling standardized financial returns. The main theme is tail asymmetry, which means that the left and right tails of the standardized return distribution are not identical. The peak-over-threshold idea in extreme value theory is...