Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models
We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. W...
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| Veröffentlicht in: | Finance research letters 2016-08, Vol.18, p.311-316 |
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| container_end_page | 316 |
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| container_start_page | 311 |
| container_title | Finance research letters |
| container_volume | 18 |
| creator | Trottier, Denis-Alexandre Ardia, David |
| description | We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). We show that these expressions are readily programmable in addition of greatly reducing the computational cost. We discuss several applications that are relevant for the purpose of estimating asymmetric conditional volatility models under skewed distributions. |
| doi_str_mv | 10.1016/j.frl.2016.05.006 |
| format | Article |
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We discuss several applications that are relevant for the purpose of estimating asymmetric conditional volatility models under skewed distributions.</description><subject>Asymmetric GARCH</subject><subject>Backtesting</subject><subject>Bayesian</subject><subject>Cost reduction</subject><subject>Maximum likelihood</subject><subject>Probability distribution</subject><subject>Skewness</subject><subject>Stochastic models</subject><subject>Studies</subject><subject>Volatility</subject><issn>1544-6123</issn><issn>1544-6131</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><recordid>eNp9UMtOwzAQjBBIlMIHcLPEOWEdJ2kCpwrRglSExONsOfZGuKRxsF1Qe-If-EO-BLdFHDnt7O7Mamei6JRCQoEW5_OksW2SBphAngAUe9GA5lkWF5TR_T-cssPoyLk5QDoqR8UgcndmgZ13xDTEedEpYZVeoyITtF1ocf39-fXoEVviXvEjLJR23up66bXp3AUZ932rpdh2xBviX5Cg83qxHW3OTscPVzexX_VIFkZh646jg0a0Dk9-6zB6nlw_Bc7sfnp7NZ7FkuWFj-tclJVq0jpnWQYwqqEBKAGEZDKtEJUQIKtaKVpWRZnTrMCClViptE5zbDI2jM52d3tr3pbhKT43y-CqdZyWtKqgopQFFt2xpDXOWWx4b8P3dsUp8E22fM5DtnyTLYech2yD5nKnCW7wXaPlTmrsJCptUXqujP5H_QO7XoRD</recordid><startdate>20160801</startdate><enddate>20160801</enddate><creator>Trottier, Denis-Alexandre</creator><creator>Ardia, David</creator><general>Elsevier Inc</general><general>Academic Press</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>20160801</creationdate><title>Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models</title><author>Trottier, Denis-Alexandre ; Ardia, David</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c356t-b5a89df2b5344007b0f00800ac3c29eedaa0c9bdd189685146e638e9d2b25ef43</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>Asymmetric GARCH</topic><topic>Backtesting</topic><topic>Bayesian</topic><topic>Cost reduction</topic><topic>Maximum likelihood</topic><topic>Probability distribution</topic><topic>Skewness</topic><topic>Stochastic models</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Trottier, Denis-Alexandre</creatorcontrib><creatorcontrib>Ardia, David</creatorcontrib><collection>CrossRef</collection><jtitle>Finance research letters</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Trottier, Denis-Alexandre</au><au>Ardia, David</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models</atitle><jtitle>Finance research letters</jtitle><date>2016-08-01</date><risdate>2016</risdate><volume>18</volume><spage>311</spage><epage>316</epage><pages>311-316</pages><issn>1544-6123</issn><eissn>1544-6131</eissn><abstract>We provide general expressions for obtaining raw, absolute and conditional moments for a standardized version of the class of skewed distributions proposed by Fernandez and Steel (1998). 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| ispartof | Finance research letters, 2016-08, Vol.18, p.311-316 |
| issn | 1544-6123 1544-6131 |
| language | eng |
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| source | ScienceDirect Journals (5 years ago - present) |
| subjects | Asymmetric GARCH Backtesting Bayesian Cost reduction Maximum likelihood Probability distribution Skewness Stochastic models Studies Volatility |
| title | Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models |
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