Financial data and the skewed generalized t distribution

Management Science

Volumn 44, Issue 12 PART 1, 1998, Pages 1650-1661

  Theodossiou, Panayiotis ^a  

^a RUTGERS UNIVERSITY   (United States)

Author keywords

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

Indexed keywords

DATA REDUCTION; LAPLACE TRANSFORMS; MATHEMATICAL MODELS;

POWER EXPONENTIAL DISTRIBUTIONS;

RISK MANAGEMENT;

EID: 0032301238     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.44.12.1650     Document Type: Article

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