Relationship between the "Skewed generalized t family" and the "Generalized Hyperbolic Skew Student's t-" distributions?

10 October 2017 0 9K Report

I need to know if there is any mathematical relationship between the following two:

1. Skewed Generalized T distribution family (SGT) proposed by [1].

2. Generalized Hyperbolic Skew Student's T-distribution (GHT) mentioned as a special case of generalized hyperbolic family in [2,3].

Is GHT a special case of SGT or vice versa?

[1] Theodossiou, P (1998). "Financial Data and the Skewed Generalized T Distribution". Management Science. 44: 1650–1661.

[2] Barndorff-Nielsen, O. E. and N. Shepard (2001). Normal modified stable processes. Theory of probability and Mathematical Statistics 65, 1–19

[3] Prause, K. (1999). The generalized hyperbolic models: Estimation, financial derivatives and risk measurement. PhD Thesis, Mathematics Faculty, University of Freiburg.

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