Skewness–kurtosis bounds for the skewed generalized T and related distributions
AbstractBounds for the skewness–kurtosis space corresponding to the skewed generalized t, skewed generalized error, skewed t, and some other distributions are presented and contrasted with the bounds reported by Klaassen et al. (2000) for unimodal probability density functions. The skewed generalized T and skewed generalized error distributions have the greatest flexibility of the distributions considered.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 83 (2013)
Issue (Month): 9 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Sean C. Kerman & James B. McDonald, 2012. "Skewness-kurtosis bounds for the skewed generalized T and related distributions," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-10, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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- McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
- Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B., 2007.
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Economics Discussion Papers
2007-13, Kiel Institute for the World Economy.
- Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B., 2007. "Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(7), pages 1-20.
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"Autoregressive Conditional Density Estimation,"
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Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August.
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- Tom Doan, . "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- Hansen, Christian & McDonald, James B. & Newey, Whitney K., 2010.
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- Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
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