A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics

Galbraith, John W.; Zhu, Dongming

doi:10.2139/ssrn.1499914

Cited by 8 publications

(1 citation statement)

References 17 publications

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“…With the passage of time, the generalized t distribution warrants special attention by scholars and has been widely applied in several research areas. Galbraith and Zhu (2010) [3] introduced a new class of asymmetric Student t distributions and illustrated their applications in financial econometrics. Harvey and Lange (2017) [4] applied the generalized t distribution in autoregressive conditional heteroscedasticity models.…”

Section: Introductionmentioning

confidence: 99%

A New Generalized t Distribution Based on a Distribution Construction Method

Guan

Cheng

et al. 2021

Mathematics

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In this paper, a new generalized t (new Gt) distribution based on a distribution construction approach is proposed and proved to be suitable for fitting both the data with high kurtosis and heavy tail. The main innovation of this article consists of four parts. First of all, the main characteristics and properties of this new distribution are outined. Secondly, we derive the explicit expression for the moments of order statistics as well as its corresponding variance–covariance matrix. Thirdly, we focus on the parameter estimation of this new Gt distribution and introduce several estimation methods, such as a modified method of moments (MMOM), a maximum likelihood estimation (MLE) using the EM algorithm, a novel iterative algorithm to acquire MLE, and improved probability weighted moments (IPWM). Through simulation studies, it can be concluded that the IPWM estimation performs better than the MLE using the EM algorithm and the MMOM in general. The newly-proposed iterative algorithm has better performance than the EM algorithm when the sample kurtosis is greater than 2.7. For four parameters of the new Gt distribution, a profile maximum likelihood approach using the EM algorithm is developed to deal with the estimation problem and obtain acceptable.

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Section: Introductionmentioning

confidence: 99%

A New Generalized t Distribution Based on a Distribution Construction Method

Guan

Cheng

et al. 2021

Mathematics

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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

et al. 2022

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Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be limited. In this paper, we employ GARCH models to characterize the exchange rate volatility of eight major African currencies. The variation of interdependence with respect to time is described using the DCC-GARCH model. From the results of the DCC, remarkable variations in correlations through time across these countries are observed with the correlations varying from low to moderate, suggesting that African economies are generally governed by certain economic factors and are vastly regulated. These regulations, including exchange rate misalignment led to sluggish and negative growth in most of the African countries. For instance, persistent misalignment can cause high levels of inflation, for example, undervaluation. Overvaluation can lead to trade imbalances and they can in turn create macroeconomic instability and balance of payment problems. Given these results, we suggest that policy makers should revamp and adopt state resilience so as to reduce the negative effect of exchange rate misalignment on economic growth.

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European option pricing under the Student’s t noise with jumps

Wang

Zhuang

2017

Physica A: Statistical Mechanics and its Applications

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A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics

Cited by 8 publications

References 17 publications

A New Generalized t Distribution Based on a Distribution Construction Method

A New Generalized t Distribution Based on a Distribution Construction Method

Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

European option pricing under the Student’s t noise with jumps

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