Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002
, Skewed Student-t distribu-
tion.
JEL classification: C51, F37, G11
a
Banque de France, DEER, 41-1391 Centre de recherche, 31 … 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 …