Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002
paper. In that paper, a so-called
skewed Student-t distribution is derived. This distribution, while retaining the desired …) determine the expression of skewness and kurtosis of
the skewed Student-t distribution, show how the cumulative distribution … Student-t distribution should get parametrized. A number of studies
have considered alternative skewed Student-t distributions …