Financial data and the skewed generalized t distribution

Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/1988

Title:	Financial data and the skewed generalized t distribution
Authors:	Theodossiou, Panayiotis
Major Field of Science:	Social Sciences
Field Category:	Economics and Business
Keywords:	Management science;Finance;Value at risk;Risk management;Data reduction;Mathematical models
Issue Date:	1-Dec-1998
Source:	Management science, 1998, vol. 44, no. 12, part 1, pp. 1650-1661
Volume:	44
Issue:	12, part 1
Start page:	1650
End page:	1661
Journal:	Management Science
Abstract:	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
URI:	https://hdl.handle.net/20.500.14279/1988
ISSN:	15265501
DOI:	10.1287/mnsc.44.12.1650
Rights:	© Institute for Operations Research and the Management Sciences
Type:	Article
Affiliation :	Rutgers University
Appears in Collections:	Άρθρα/Articles

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