ALRIGHT: Asymmetric LaRge-Scale (I) Garch withHetero-Tails

It is well-known in empirical finance that virtually all asset returns, whether monthly,daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but oftensignificantly negatively skewed. However, the tail indices, or maximally existing moments ofthe returns, can differ markedly across assets. To accommodate these stylized facts whenmodeling the joint distribution of asset returns, an asymmetric extension of the meta-elliptical t distribution is proposed. While the likelihood is tractable, for high dimensionsit will be impractical to use for estimation. To address this, a fast, two-step estimationprocedure is developed, based on a saddlepoint approximation to the noncentral Student'st distribution.[...]