Markus, Haas - In: Studies in Nonlinear Dynamics & Econometrics 14 (2010) 4, pp. 1-56
This paper introduces skew-normal (SN) mixture and Markov-switching (MS) GARCH processes for capturing the skewness in the distribution of stock returns. The model class is motivated by the fact that the common way of incorporating asymmetries into Gaussian MS GARCH models, i.e.,...