Scherer, Matthias; Rachev, Svetlozar T.; Kim, Young Shin; … - In: Applied Financial Economics 22 (2012) 16, pp. 1305-1316
There is considerable empirical evidence that financial returns exhibit leptokurtosis and nonzero skewness. As a result, alternative distributions for modelling a time series of the financial returns have been proposed. A family of distributions that has shown considerable promise for modelling...