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https://hdl.handle.net/20.500.14279/1988| Τίτλος: | Financial data and the skewed generalized t distribution | Συγγραφείς: | Theodossiou, Panayiotis | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Management science;Finance;Value at risk;Risk management;Data reduction;Mathematical models | Ημερομηνία Έκδοσης: | 1-Δεκ-1998 | Πηγή: | Management science, 1998, vol. 44, no. 12, part 1, pp. 1650-1661 | Volume: | 44 | Issue: | 12, part 1 | Start page: | 1650 | End page: | 1661 | Περιοδικό: | Management Science | Περίληψη: | 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 |
| Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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