A generalized asymmetric Student-t distribution with application to financial econometrics

Journal of Econometrics

Volumn 157, Issue 2, 2010, Pages 297-305

  Zhu, Dongming ^a   Galbraith, John W ^b  

^a SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b MCGILL UNIVERSITY   (Canada)

Author keywords

Asymmetric distribution; Expected Shortfall; Maximum likelihood estimation

Indexed keywords

ANALYTICAL EXPRESSIONS; ASYMMETRIC DISTRIBUTION; ASYMPTOTIC COVARIANCE MATRIX; ASYMPTOTIC NORMALITY; ASYMPTOTIC PROPERTIES; EXPECTED SHORTFALL; ML ESTIMATORS; MONTE CARLO STUDY; QUANTILE FUNCTIONS; REGULARITY CONDITION; STOCHASTIC REPRESENTATIONS; STUDENT-T DISTRIBUTION;

ASYMPTOTIC ANALYSIS; COVARIANCE MATRIX; ESTIMATION;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 77953697105     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.01.013     Document Type: Article

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