Saddlepoint Approximations for the Doubly Noncentral t Distribution

Closed-form, trivially evaluated approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed.

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Year of publication:	2006-09-01
Authors:	Broda, Simon ; Paolella, Marc S.
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Ökonometrie \| econometrics \| GARCH-Prozess \| t-Verteilung

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Extent:	310272 bytes 18 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 304 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. Other aspects ; Econometrics ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858504