This paper develops a skewed extension of the generalized t (GT) distribution, introduced by McDonald and Newey (1988). In particular, the paper derives the mathematical moments and other properties of the distribution and assesses its ability to fit the empirical distribution of several...

This paper develops a financial distress model using the statistical methodology of time-series Cumulative Sums (CUSUM). The model has the ability to distinguish between changes in the financial variables of a firm that are the result of serial correlation and changes that are the result of...

This article investigates the empirical distributions of log-returns of several financial assets at the daily, weekly, monthly, bimonthly, and quarterly frequencies. The results indicate that the distributions possess significant skewness and leptokurtosis. These findings are attributed to...

This paper investigates the impact and implications of outlier returns for event studies and the pricing of risk. A mixed regression process consisting of a regular and an outlier component is used to model returns for individual stocks. The regular component of stock returns is estimated using...

Higher initial margin requirements are associated with lower subsequent stock market volatility during normal and bull periods, but show no relationship during bear periods. Higher margins are also negatively related to the conditional mean of stock returns, apparently because they reduce...

This paper develops a financial distress model using the statistical methodology of time-series Cumulative Sums (CUSUM). The model has the ability to distinguish between changes in the financial variables of a firm that are the result of serial correlation and changes that are the result of...

Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric...