A generalized asymmetric Student-t distribution with application to financial econometrics

Dongming Zhu and John Galbraith

Journal of Econometrics, 2010, vol. 157, issue 2, 297-305

Abstract: This paper proposes a new class of asymmetric Student-t (AST) distributions, and investigates its properties, gives procedures for estimation, and indicates applications in financial econometrics. We derive analytical expressions for the cdf, quantile function, moments, and quantities useful in financial econometric applications such as the Expected Shortfall. A stochastic representation of the distribution is also given. Although the AST density does not satisfy the usual regularity conditions for maximum likelihood estimation, we establish consistency, asymptotic normality and efficiency of ML estimators and derive an explicit analytical expression for the asymptotic covariance matrix. A Monte Carlo study indicates generally good finite-sample conformity with these asymptotic properties.

Keywords: Asymmetric; distribution; Expected; Shortfall; Maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (82)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(10)00026-6
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics (2009)
Working Paper: A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:2:p:297-305

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().