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Aas et al., 2006 - Google Patents

The generalized hyperbolic skew student'st-distribution

Aas et al., 2006

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Document ID
6405246822412310126
Author
Aas K
Haff I
Publication year
Publication venue
Journal of financial econometrics

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In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student'st-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only …
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