Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003
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...