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  • Search: subject:"Skewed Generalized t Distribution"
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Capital income 6 Kapitaleinkommen 6 Statistical distribution 6 Statistische Verteilung 6 Skewed generalized t distribution 5 Volatility 5 Volatilität 5 Theorie 4 Theory 4 ARCH model 3 ARCH-Modell 3 Estimation theory 3 Schätztheorie 3 Value-at-Risk 3 skewed generalized T distribution 3 Börsenkurs 2 Extreme value theory 2 Risikomaß 2 Risk measure 2 Share price 2 Tail-index 2 VaR-x method 2 obesity epidemic 2 partially adaptive estimation 2 Asymmetric Stock Returns 1 Ausreißer 1 Bipower variation test 1 Body weight 1 Buffering Effect 1 CVaR 1 Daily returns 1 Deregulation 1 Deregulierung 1 Dry bulk shipping 1 Dynamic skewness risk 1 Eating habit 1 Econometrics 1 Electric Utilities 1 Electric power industry 1 Elektrizitätswirtschaft 1
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Undetermined 7 Free 2
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Article 9 Book / Working Paper 2
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Article in journal 7 Aufsatz in Zeitschrift 7 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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English 9 Undetermined 2
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Changchien, Chang-Cheng 3 Kao, Wei-Shun 3 Lin, Chu-Hsiung 3 Kao, Tzu-Chuan 2 McDonald, James B. 2 Carson, Scott A. 1 Carson, Scott Alan 1 Cheng, Wan-hsiu 1 Guo, Haifeng 1 Hung, Jui-cheng 1 Li, Hongyi 1 Liu, Guifang 1 Liu, Hailong 1 Ma, Jun 1 Michelfelder, Richard A. 1 Pekár, Juraj 1 Pčolár, Mário 1 Sun, Xiaolin 1 Theodossiou, Panayiotis 1 Wu, Chien-Hui 1 Xu, Weijun 1
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Journal of empirical finance 2 Applied economics 1 CESifo Working Paper 1 CESifo working papers 1 Central European journal of operations research 1 Economic modelling 1 Finance research letters 1 Journal of Empirical Finance 1 Journal of mathematical finance 1 Management Science 1
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Source
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ECONIS (ZBW) 8 RePEc 2 EconStor 1
Showing 11 - 11 of 11
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Financial Data and the Skewed Generalized T Distribution
Theodossiou, Panayiotis - In: Management Science 44 (1998) 12-Part-1, pp. 1650-1661
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...
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