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A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS

John Galbraith and Dongming Zhu ()

Departmental Working Papers from McGill University, Department of Economics

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.

JEL-codes: C13 C16 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009-04
New Economics Papers: this item is included in nep-ecm
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Journal Article: A generalized asymmetric Student-t distribution with application to financial econometrics (2010) Downloads
Working Paper: A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics (2009) Downloads
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