Modeling the conditional distribution of financial returns with asymmetric tails
具有非对称尾部的金融收益条件分布建模
Summary This paper proposes a conditional density model that allows for differing left/right tail indices and time‐varying volatility based on the dynamic conditional score (DCS) approach. The asymptotic properties of the maximum likelihood estimates are presented under verifiable conditions together with simulations showing effective estimation with practical sample sizes. It is shown that tail asymmetry is prevalent in global equity index returns and can be mistaken for…