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Grottke, Martin
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Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 30/1999
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
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Working Paper

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