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A review of Student’s t distribution and its generalizations

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  • Rui Li

    (University of Manchester)

  • Saralees Nadarajah

    (University of Manchester)

Abstract

The Student’s t distribution is the most popular model for economic and financial data. In recent years, many generalizations of the Student’s t distribution have been proposed. This paper provides a review of generalizations, including software available for them. A real data application is presented to compare some of the reviewed distributions.

Suggested Citation

  • Rui Li & Saralees Nadarajah, 2020. "A review of Student’s t distribution and its generalizations," Empirical Economics, Springer, vol. 58(3), pages 1461-1490, March.
    • Handle: RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1570-0
    DOI: 10.1007/s00181-018-1570-0
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    References listed on IDEAS

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    3. Kjersti Aas & Ingrid Hobaek Haff, 2006. "The Generalized Hyperbolic Skew Student's t-Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 275-309.
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    6. Cassidy, Daniel T. & Hamp, Michael J. & Ouyed, Rachid, 2010. "Pricing European options with a log Student’s t-distribution: A Gosset formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5736-5748.
    7. Zhu, Dongming & Galbraith, John W., 2010. "A generalized asymmetric Student-t distribution with application to financial econometrics," Journal of Econometrics, Elsevier, vol. 157(2), pages 297-305, August.
    8. S. Shafiei & M. Doostparast, 2014. "Balakrishnan Skew-t Distribution and Associated Statistical Characteristics," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(19), pages 4109-4122, October.
    9. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(3), pages 428-457, December.
    10. David Cademartori & Cecilia Romo & Ricardo Campos & Manuel Galea, 2003. "Robust estimation of systematic risk using the t distribution in the chilean stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 447-453.
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    Cited by:

    1. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
    2. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
    3. Xiao Jiang & Saralees Nadarajah & Thomas Hitchen, 2024. "A Review of Generalized Hyperbolic Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 595-624, July.

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