Financial Data and the Skewed Generalized T Distribution
扩展了广义t分布以处理偏斜和厚尾，推导其数学性质，并验证该分布能很好拟合多个金融序列的经验分布。
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 financial series characterized by skewness and excess kurtosis. In all cases the skewed GT provides an excellent fit to the empirical distribution of data.