The Generalised Hyperbolic Skew Student ’ s t-distribution

@inproceedings{Aas2005TheGH,
  title={The Generalised Hyperbolic Skew Student ’ s t-distribution},
  author={Kjersti Aas and Ingrid Hob{\ae}k Haff},
  year={2005}
}
The empirical distribution of daily returns from financial market variables such as exchange rates, equity prices, and interest rates, is often skewed, having one heavy, and one semiheavy, or more Gaussian-like tail. The NIG distribution, that has two semi-heavy tails, models skewness rather well, but only in cases where the tails are not too heavy. On the other hand, the skew Student’s t-distributions presented in the literature have two polynomial tails. Hence, they fit heavy-tailed data well… CONTINUE READING
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