Modelling skewness dynamics in series of financial data using skewed location-scale distributions

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Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “…and Booth (1987), Tucker and Pond (1988)], the Student distributions [see Bollerslev (1987), Baillie and Bollerslev (1989), Palm and Vlaar (1997), Lambert and Laurent (2000, 2001)] and the hyperbolic distributions [see BarndorffNielsen (1994), Eberlein and Keller (1995), Kuechler et al. (1994)].”
A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002, unknown): “|υ) is a univariate standardized Student and following Lambert and Laurent (2001), mi = Γ ( υ−1 2 )√ υ − 2 √ πΓ ( υ 2 ) ξi − 1 ξi ) (43)”
Value-at-Risk for long and short trading positions (2003, background): “Lambert and Laurent (2000) show that the quantile function skst∗α,υ,ξ of a non standardized skewed student density is: skst∗α,υ,ξ = 1 ξ stα,υ [ α 2 (1 + ξ 2) ] if α 11+ξ2 −ξstα,υ [ 1−α 2 (1 + ξ −2) ] if α ≥ 11+ξ2 (9) where stα,υ is the quantile function of the (unit variance) Student-t density.”
The Use of GARCH Models in VaR Estimation (2004, background): “[41] P. Lambert, S. Laurent, Modelling financial time series using GARCH-type models and a skewed student density, Universite de Liege, (2001) Mimeo.”