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Title: The skew-normal and related distributions as a copula and as a model for skewness persistence Authors:  Chris Adcock - SOAS - University of London (United Kingdom) [presenting]
Abstract: An extension of the skew-normal distributions has been recently presented which is a copula. Under this model, the standardized marginal distributions are standard normal. The copula itself depends on the familiar skewing construction based on the normal distribution function. Two topics are considered. First, a number of extensions of the skew-normal copula are presented. Notably these include a case in which the standardized marginal distributions are Student's $t$, with different degrees of freedom allowed for each margin. In this case, the skewing function is not the distribution function for Student's $t$, but depends on certain of the special functions. Secondly, several multivariate versions of the skew-normal copula model are presented. These include as particular cases previous distributions. These distributions may be employed to model time varying skewness and skewness persistence, which is known to be a feature of some stock markets.