A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
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- Tom Doan, "undated". "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.
- BAUWENS, Luc & LAURENT, Sébastien, 2005. "A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models," CORE Discussion Papers RP 1793, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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