On the characteristic function for asymmetric Student t distributions

Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

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Year of publication:	2013
Authors:	Nadarajah, Saralees ; Chan, Stephen ; Afuecheta, Emmanuel
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 271-274
Publisher:	Elsevier
Subject:	Asymmetric Student t distribution \| Characteristic function \| Hypergeometric function

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010709097