Giacomini, Raffaella; Gottschling, Andreas; Haefke, … - In: Journal of Econometrics 144 (2008) 1, pp. 175-192
We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. Particularly desirable for econometric applications are closed-form expressions for antiderivatives (e.g., the cumulative density function). We illustrate the usefulness of...