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Financial Data and the Skewed Generalized T Distribution

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Author Info

  • Panayiotis Theodossiou

    (School of Business, Rutgers University, Camden, New Jersey 08102)

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    Abstract

    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.

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    File URL: http://dx.doi.org/10.1287/mnsc.44.12.1650
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    Bibliographic Info

    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 44 (1998)
    Issue (Month): 12-Part-1 (December)
    Pages: 1650-1661

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    Handle: RePEc:inm:ormnsc:v:44:y:1998:i:12-part-1:p:1650-1661

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    Related research

    Keywords: Skewed Generalized t Distribution; Laplace Distribution; Power Exponential Distribution; Skewness; Leptokurtic; Value at Risk;

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