On the characteristic function for asymmetric Student t distributions

Stephen Chan; Saralees Nadarajah; Emmanuel Afuecheta

doi:10.1016/j.econlet.2013.08.034

On the characteristic function for asymmetric Student t distributions

Stephen Chan
, Saralees Nadarajah (Collaborator)
, Emmanuel Afuecheta (Collaborator)

The University of Manchester

Research output: Contribution to journal › Article › peer-review

Abstract

Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

Original language	English
Pages (from-to)	271-274
Number of pages	3
Journal	Economics Letters
Volume	121
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2013.08.034
Publication status	Published - 30 Nov 2013

Keywords

Asymmetric Student t distribution; Characteristic function; Hypergeometric function

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10.1016/j.econlet.2013.08.034

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title = "On the characteristic function for asymmetric Student t distributions",

abstract = "Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.",

keywords = "Asymmetric Student t distribution; Characteristic function; Hypergeometric function",

author = "Stephen Chan and Saralees Nadarajah and Emmanuel Afuecheta",

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AU - Chan, Stephen

A2 - Nadarajah, Saralees

A2 - Afuecheta, Emmanuel

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N2 - Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

AB - Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function for asymmetric exponential power distributions. Econometric Reviews 31, 475–481], we derive here, for the first time, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions involve hypergeometric and Bessel type functions.

KW - Asymmetric Student t distribution; Characteristic function; Hypergeometric function

U2 - 10.1016/j.econlet.2013.08.034

DO - 10.1016/j.econlet.2013.08.034

M3 - Article

SN - 0165-1765

VL - 121

SP - 271

EP - 274

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

On the characteristic function for asymmetric Student t distributions

Abstract

Keywords

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