Skewed Student distribution of Hansen (1994) [1].
Python implementation of Andrew Patton's MatLab code.
pip install git+git://github.com/khrapovs/skewstudent
[1] | Hansen, B. E. (1994). Autoregressive conditional density estimation. International Economic Review, 35(3), 705–730. <http://www.ssc.wisc.edu/~bhansen/papers/ier_94.pdf> |