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On the characteristic function for asymmetric Student t distributions

Author

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  • Nadarajah, Saralees
  • Chan, Stephen
  • Afuecheta, Emmanuel

Abstract

Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

Suggested Citation

  • Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel, 2013. "On the characteristic function for asymmetric Student t distributions," Economics Letters, Elsevier, vol. 121(2), pages 271-274.
    • Handle: RePEc:eee:ecolet:v:121:y:2013:i:2:p:271-274
    DOI: 10.1016/j.econlet.2013.08.034
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    References listed on IDEAS

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    More about this item

    Keywords

    Asymmetric Student t distribution; Characteristic function; Hypergeometric function;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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