Generation of Random Deviates from the Student t-Distribution
Document ID: 1999-304 (previously 1999/003)
Published on: 1st January 1999
Author: Phil Mowbray
The t-distribution is an appealing alternative to the normal distribution for modelling log equity returns because of its ability to generate fat tails (leptokurtosis). This note focuses on the algorithm for generating random variates from the t-distribution.
