Properties and Estimation of Asymmetric Exponential Power Distribution

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Volatility Modeling with a Generalized t Distribution (2017, unknown): “The PDF of a standardized GED variable, in the form used by Zhu and Zinde-Walsh (2009), is f ."t / D 1 1= 2' .1= / exp 1 j"t j : (9) The GED is a special case of generalized t because, as !”
A generalized class of skew distributions and associated robust quantile regression models (2014, methodology): “…we can construct other skew distributions by suitably choosing any unimodal scale mixing pdf f (λ) in Equation (1), for example, the skew exponential power (Zhu & Zinde-Walsh, 2009) and skew variance-gamma (VG) distributions, see Madan & Seneta (1990) for more details on the VG distribution.”
Time‐series models with an EGB2 conditional distribution (2014, unknown): “/ distribution, the usual asymptotic properties of the ML estimator of can be shown to hold, although the proof is non-standard for < 2 because the score function is not continuous at y D ; see Zhu and Zinde-Walsh (2009).”