Financial data and the skewed generalized t distribution

Financial data and the skewed generalized t distribution

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Article ID: iaor20001232
Country: United States
Volume: 44
Issue: 12, Part 1
Publication Date: Dec 1998
Journal: Management Science
Authors:
Keywords: financial, finance & banking
Abstract:

This paper develops a skewed extension of the generalized t (GT) distribution, introduced by McDonald and Newey. 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.

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