A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
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Publication:736524
DOI10.1016/j.jeconom.2010.01.013zbMath1431.62222OpenAlexW3124010001MaRDI QIDQ736524
John W. Galbraith, Dongming Zhu
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.013
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites Work
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- Financial Data and the Skewed Generalized T Distribution
- Large-Sample Inference for the Epsilon-Skew-t Distribution
- On Bayesian Modeling of Fat Tails and Skewness
- Autoregressive Conditional Density Estimation
- A new class of multivariate skew distributions with applications to bayesian regression models
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- A Skew Extension of the T-Distribution, with Applications
- A general class of multivariate skew-elliptical distributions
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