On the characteristic function for asymmetric Student t distributions

摘要

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.