This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A new class of multivariate skew densities, with appplication to GARCH models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
BAUWENS, Luc
LAURENT, SŽbastien

Additional information is available for the following registered author(s):

Abstract

We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when applied to the product of independent univariate Student densities, it provides a "multivariate skew density with independent Student components" for which each marginal has a different asymmetry coefficient and number of degrees of freedom. Combined with a multivariate GARCH model, this new family of distributions (that generalizes the work of Fernandez and Steel, 1998) is potentially useful for modelling stock returns, which a are known to be conditionally heteroskedastic, fat-tailed, and often skew. In an application to the daily returns of the CAC40, NASDAQ, NIKKEI and the SMI, it is found that this density suits well the data and clearly outperforms its symmetric competitors.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.core.ucl.ac.be/services/abstrPDF/abstr02/abstr2002-20.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2002020.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 01 Apr 2002
Date of revision:
Handle: RePEc:cor:louvco:2002020

Contact details of provider:
Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
Phone: 32(10)474321
Fax: +32 10474301
Email:
Web page: http://www.uclouvain.be/core
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Alain GILLIS).

Related research
Keywords: multivariate skew density; multivariate Student density; multivariate GARCH models;

Other versions of this item:

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," ECARES Working Papers 2008_009, Université Libre de Bruxelles, Ecares. [Downloadable!]
  2. Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006. "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques) 2006005, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  3. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  4. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics. [Downloadable!]
  5. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge. [Downloadable!]
  6. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
    Other versions:
  7. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November. [Downloadable!] (restricted)
  8. GARCIA, RenŽ & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  9. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Documents de Travail 108, Banque de France. [Downloadable!]
  10. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
    Other versions:
  11. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
    Other versions:
  12. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  13. Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    Other versions:
  14. Matteo Pelagatti, 2007. "Modelling good and bad volatility," Working Papers 20071101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica. [Downloadable!]
  15. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
    Other versions:
  16. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, EconWPA. [Downloadable!]
  17. Riccardo Borgoni & Piero Quatto & Giorgio Somà & Daniela de Bartolo, 2007. "A Geostatistical Approach to Define Guidelines for Radon Prone Area Identification," Working Papers 20071102, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS was launched in September 1997.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.