A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
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DOI: 10.1016/j.jeconom.2021.01.003
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More about this item
Keywords
Beta prime; Double-Pareto; Feller-Pareto; SGT; Stock returns;All these keywords.
JEL classification:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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