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A review of Student’s t distribution and its generalizations

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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.

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Acknowledgements

The authors would like to thank the Editor and the referee for careful reading and comments which greatly improved the paper.

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Authors and Affiliations

  1. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK

    Rui Li & Saralees Nadarajah

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  1. Rui Li
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  2. Saralees Nadarajah
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Correspondence to Saralees Nadarajah.

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Li, R., Nadarajah, S. A review of Student’s t distribution and its generalizations. Empir Econ 58, 1461–1490 (2020). https://doi.org/10.1007/s00181-018-1570-0

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