On the characteristic function for asymmetric Student t distributions

Saralees Nadarajah, Stephen Chan and Emmanuel Afuecheta

Economics Letters, 2013, vol. 121, issue 2, 271-274

Abstract: Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

Keywords: Asymmetric Student t distribution; Characteristic function; Hypergeometric function (search for similar items in EconPapers)
JEL-codes: C1 C16 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:271-274

DOI: 10.1016/j.econlet.2013.08.034

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