Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29616 
Authors: 
Year of Publication: 
1999
Series/Report no.: 
Diskussionspapier No. 30/1999
Publisher: 
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie, Nürnberg
Abstract: 
There are several proposals of adding a skewness parameter into a symmetric distribution. Most of them are combined with a certain distribution. The following working paper will present an universal method of generating an asymmetric distribution. As an application this method is used to make the Generalized-t-distribution skewed - thus producing the Skewed-Generalized-t (SGT-), the SGT2- and the SGT3-distribution. These distributions include several well known distributions like the Normal-, Laplace-, t-, Cauchyand Box-Tiao-distribution. They also allow a higher leptokurtosis, what makes them suitable for the estimation of financial data
Document Type: 
Working Paper

Files in This Item:
File
Size
139.15 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.