A. Azzalini and A. Capitanio, Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t student distribution, Journal of the Royal Statistical Society Series B, vol.65, pp.579-602, 2003.

R. T. Baillie and T. Bollerslev, Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, The Review of Economic Studies, vol.58, issue.3, pp.565-585, 1191.
DOI : 10.2307/2298012

N. H. Bingham and R. Kiesel, Semi-parametric modelling in finance: theoretical foundations, Quantitative Finance, vol.23, issue.4, pp.368-385, 2002.
DOI : 10.1086/294632

F. Black, Studies in stock price volatility changes, Proceedings of 1976 Meeting of Business and Economics Statistics Section, pp.177-181, 1976.

T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986.
DOI : 10.1016/0304-4076(86)90063-1

T. Bollerslev, A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, The Review of Economics and Statistics, vol.69, issue.3, pp.542-547, 1987.
DOI : 10.2307/1925546

Z. Ding, C. W. Granger, and R. F. Engle, A long memory property of stock market returns and a new model, Journal of Empirical Finance, vol.1, issue.1, pp.83-106, 1993.
DOI : 10.1016/0927-5398(93)90006-D

R. F. Engle, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1008, 1982.
DOI : 10.2307/1912773

L. Giraitis, R. Leipus, and D. Surgailis, Recent Advances in ARCH Modelling, Long Memory in Economics, 2007.
DOI : 10.1007/978-3-540-34625-8_1

C. Gouriéroux, ARCH model and financial application, 1997.
DOI : 10.1007/978-1-4612-1860-9

B. Hansen, Autoregressive Conditional Density Estimation, International Economic Review, vol.35, issue.3, pp.705-730, 1994.
DOI : 10.2307/2527081

M. B. Jones and M. J. Faddy, A skew extension of the t-distribution, with applications, Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol.36, issue.1, pp.159-174, 2003.
DOI : 10.1016/S0378-3758(99)00096-8

M. Mcaleer, AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY, Econometric Theory, vol.2, issue.01, pp.232-261, 2005.
DOI : 10.2307/2235317

D. B. Nelson, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, vol.59, issue.2, pp.347-370, 1991.
DOI : 10.2307/2938260

A. Patton, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, vol.2, issue.1, pp.130-168, 2004.
DOI : 10.1093/jjfinec/nbh006

A. Peiró, Skewness in financial returns, Journal of Banking & Finance, vol.23, issue.6, pp.847-862, 1999.
DOI : 10.1016/S0378-4266(98)00119-8

G. Storti and C. Vitale, BL-GARCH models and asymmetries in volatility , Statistical Methods and Applications, pp.19-40, 2003.

G. Storti and C. Vitale, Likelihood inference in BL-GARCH models, Computational Statistics, vol.28, issue.2, pp.387-400, 2003.
DOI : 10.1007/BF03354605

R. S. Tsay, Analysis of financial time series, 2002.

E. Zivot and J. Wang, Modeling financial time series with SPLUS, 2005.