Two-sided skew and shape dynamic conditional score models

Abstract

In this paper we introduce a family of 2-Sided Skew and Shape distributions that accounts for asymmetry in the tails decay. The proposed distributions account for many of the stylised fact frequently observed in financial time series, except for the time-varying nature of moments of any order. To this aim we extend the model to a dynamic framework by means of the score updating mechanism. The asymptotic theory of the proposed model is derived under mild conditions.