A New Class of Multivariate skew Densities, with Application to GARCH Models
| Year of publication: |
2002-07-01
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| Authors: | Bauwens, Luc ; Laurent, Sébastien |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Multivariate skewness | Multivariate Student density | Multivariate GARCH models |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 5 |
| Classification: | C13 - Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
| Source: |
Persistent link: https://www.econbiz.de/10005537684