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The asymptotic properties of the maximum likelihood estimates are presented under verifiable conditions together with simulations showing effective estimation with practical sample sizes. It is shown that tail asymmetry is prevalent in global equity index returns and can be mistaken for skewness through the center of the distribution. The importance of tail asymmetry for asset\u00a0allocation and risk premia is demonstrated in\u2010sample. Application to portfolio construction out\u2010of\u2010sample is then considered, with a representative investor willing to pay economically and statistically significant management fees to use the new model instead of traditional skewed models to determine their asset allocation.<\/jats:p>","DOI":"10.1002\/jae.2730","type":"journal-article","created":{"date-parts":[[2019,7,17]],"date-time":"2019-07-17T08:40:33Z","timestamp":1563352833000},"page":"46-60","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":12,"title":["Modeling the conditional distribution of financial returns with asymmetric tails"],"prefix":"10.1002","volume":"35","author":[{"given":"Stephen","family":"Thiele","sequence":"first","affiliation":[{"name":"School of Economics and Finance Queensland University of Technology  Brisbane Queensland Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,8,30]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.02.009"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1098\/rspa.1977.0041"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00282"},{"key":"e_1_2_7_5_1","doi-asserted-by":"crossref","unstructured":"Blasques F. 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