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arXiv · 2610.41171

Convolution Skew-$t$ Distributions

Xinxian Chen·Peter Reinhard Hansen·Chen Tong
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Abstract

We introduce the convolution skew-$t$ (CST) distribution, which combines independent standardized skew-$t$ subvectors through a general loading matrix to accommodate heterogeneous tails, directional asymmetry, and non-elliptical dependence. We establish identification and develop likelihood inference using analytical scores and a one-dimensional reduction of Fisher information. For the finite-variance model, we prove consistency and asymptotic normality of maximum likelihood and characterize the consequences of imposing false symmetry. A raw representation extends the family to all positive tail indices. Simulations assess finite-sample performance, and a realized-volatility application illustrates the empirical value of allowing tail thickness and asymmetry to vary across latent subvectors.

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Xinxian Chen, Peter Reinhard Hansen, Chen Tong. 2026-10-30. Convolution Skew-$t$ Distributions. https://arxiv.org/abs/2610.41171

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