Financial Data and the Skewed Generalized T Distribution

This paper develops a skewed extension of the generalized t (GT) distribution, introduced by McDonald and Newey (1988). In particular, the paper derives the mathematical moments and other properties of the distribution and assesses its ability to fit the empirical distribution of several financial series characterized by skewness and excess kurtosis. In all cases the skewed GT provides an excellent fit to the empirical distribution of data.

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Year of publication:	1998
Authors:	Theodossiou, Panayiotis
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 44.1998, 12-Part-1, p. 1650-1661
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	Skewed Generalized t Distribution \| Laplace Distribution \| Power Exponential Distribution \| Skewness \| Leptokurtic \| Value at Risk

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.44.12.1650 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009214087