Financial data and the skewed generalized T distribution

被引：252

作者：

Theodossiou, P ^{[1
]}

机构：

[1] Rutgers State Univ, Sch Business, Camden, NJ 08102 USA

来源：

MANAGEMENT SCIENCE | 1998年 / 44卷 / 12期

关键词：

skewed Generalized t distribution; Laplace distribution; power exponential distribution; skewness; leptokurtic; value at risk;

D O I：

10.1287/mnsc.44.12.1650

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：1650 / 1661

页数：12

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