The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.
Financial Data and the Skewed Generalized T Distribution
Open accessAbstract
This paper develops a skewed extension of the generalized t (GT) distribution, introduced by McDonald and Newey (1988). In particular, the paper derives the mathematical moments and other properties of the distribution and assesses its ability to fit the empirical distribution of several financial series characterized by skewness and excess kurtosis. In all cases the skewed GT provides an excellent fit to the empirical distribution of data.
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Cites
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Table of Integrals, Series, and Products
(1980) · Elsevier eBooks · doi:10.1016/c2013-0-10754-4 · Cited by 18,782
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,606
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Table of Integrals, Series, and Products.
Kolbig, K. S., Gradshteyn, I. S., Ryzhik, I. M., Jeffrey, A., & Scripta Technica, I. (1995) · Mathematics of Computation · doi:10.2307/2153347 · Cited by 9,550
Continuous Univariate Distributions.
Omori, Y., Johnson, N. L., Kotz, S., & Balakrishnan, N. (1995) · Journal of the American Statistical Association · doi:10.2307/2291547 · Cited by 9,084
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
Autoregressive Conditional Density Estimation
Hansen, B. E. (1994) · International Economic Review · doi:10.2307/2527081 · Cited by 1,575
Bollerslev, T., Engle, R. F., & Nelson, D. B. (1994) · Handbook of Econometrics · doi:10.1016/s1573-4412(05)80018-2 · Cited by 879
Cited by
The Copula-GARCH model of conditional dependencies: An international stock market application
Jondeau, E., & Rockinger, M. (2006) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2006.04.007 · Cited by 783
Metadata
- Authors
- Theodossiou, P.
- Venue
- Management Science
- Published
- 1998-12
- Volume
- 44
- Issue
- 12-part-1
- Pages
- 1650-1661
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W3122384970
- Cited by
- 429
- References
- 21
- FWCI
- 3.07
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
