Παρακαλώ χρησιμοποιήστε αυτό το αναγνωριστικό για να παραπέμψετε ή να δημιουργήσετε σύνδεσμο προς αυτό το τεκμήριο:
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 |
CORE Recommender
SCOPUSTM
Citations
265
checked on 9 Νοε 2023
WEB OF SCIENCETM
Citations
50
227
Last Week
4
4
Last month
0
0
checked on 25 Οκτ 2023
Page view(s)
640
Last Week
0
0
Last month
33
33
checked on 14 Μαρ 2025
Google ScholarTM
Check
Altmetric
Όλα τα τεκμήρια του δικτυακού τόπου προστατεύονται από πνευματικά δικαιώματα