Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling

A modification of multivariate t-distribution with vector of degrees of freedom is suggested: multivariate t-distribution with vector of skewness parameters and vector of degrees of freedom is introduced. A special case of this distribution is already known multivariate skew t-distribution with scalar parameter of degrees of freedom. Application of the constructed distribution in BEKK models is considered.

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Year of publication:	2011
Authors:	Balaev, Balaev , Alexey
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 23.2011, 3, p. 79-97
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	multivariate t-distribution \| skewness \| heavy tails \| conditional density function

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Extent:	application/pdf
Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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