Properties and Limiting Forms of the Multivariate Extended Skew-Normal and Skew-Student Distributions

This paper is concerned with the multivariate extended skew-normal [MESN] and skew-Student [MEST] distributions, that is, distributions in which location parameters of underlying truncated are not zero. The extra parameter leads to greater variability moments critical values, thus providing flexibility for empirical work. It reported this various theoretical properties notably limiting forms as magnitude extension parameter, denoted τ paper, increases without limit. In particular, it shown τ→−∞, MESN MEST different. effect difference exemplified by a study stockmarket crashes. A second example short extent distribution can be approximated skew-Student.