Modelling conditional heteroskedasticity and skewness using the skew-normal distribution

Metron

Volumn 68, Issue 3, 2010, Pages 251-263

  Corns, Thomas Richard Allen ^a   Satchell, Stephen Ellwood ^b,c  

^a SAC Global Investors LLP   (United Kingdom)

^b TRINITY COLLEGE   (United Kingdom)

^c UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Conditional heteroskedasticity; GARCH; Skew ness; Skew normal; Skew symmetric

Indexed keywords

EID: 79956088414     PISSN: 00261424     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf03263538     Document Type: Article

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