Journal
EMPIRICAL ECONOMICS
Volume 58, Issue 3, Pages 1461-1490Publisher
PHYSICA-VERLAG GMBH & CO
DOI: 10.1007/s00181-018-1570-0
Keywords
Cumulative distribution function; Moments; Probability density function
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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.
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