In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student's t-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only subclass of the GH family of distributions having this property. Although the GH skew Student's t-distribution has been previously proposed in the literature, it is not well known, and specifically, its special tail behavior has not been addressed. This article presents empirical evidence of exponential/polynomial tail behavior in skew financial data, and demonstrates the superiority of the GH skew Student's t-distribution with respect to data fit compared with some of its competitors. Through VaR and expected shortfall calculations we show why the exponential/polynomial tail behavior is important in practice. Copyright 2006, Oxford University Press.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Contact details of provider: Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK Fax: 01865 267 985 Email: Web page: http://jfec.oxfordjournals.org/
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)