Most time series models used in econometrics and empirical finance are estimated withmaximum likelihood methods, in particular when interest centers on density and Value{at{Risk (VaR) prediction. The standard maximum likelihood principle implicitly placesequal weight on each of the observations...

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...