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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