Financial Data and the Skewed Generalized T Distribution

Management Science, Vol. 44, pp. 1650-1661, December 1998

12 Pages Posted: 27 Oct 2008

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.

JEL Classification: C51, G12

Suggested Citation

Theodossiou, Panayiotis, Financial Data and the Skewed Generalized T Distribution. Management Science, Vol. 44, pp. 1650-1661, December 1998. Available at SSRN: https://ssrn.com/abstract=65037 or http://dx.doi.org/10.2139/ssrn.65037

Panayiotis Theodossiou (Contact Author)

Cyprus University of Technology ( email )

Limassol, 3603
Cyprus

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