second derivative of the logarithmic student t-distribution

Asked Aug 01 '14 at 09:54

Active Aug 01 '14 at 09:54

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I would like to determine the second derivative of the log t-distribution. Results are given in this paper http://faculty.chicagobooth.edu/drew.creal/research/papers/crealKoopmanLucas2012_univariateVolatility.pdf at page 4, chapter 2.2. I got the first derivative, but not the second one. It would be really nice, if someone could help me with that.

Thanks in advance! Julia

asked Aug 01 '14 at 09:54

Julia

If you have the first derivative, can you post it ? I could try. – Claude Leibovici Aug 01 '14 at 10:05
thanks, it is (v+1)/2 (1+y^2/((v-2)sigma^2))^(-1) y^2/((v-2)sigma^4)-1/2sigma^2 – Julia Aug 01 '14 at 10:13
it is the same as in the paper (maybe it's better to read it there). I need the second derivative for the inverse Fisher information matrix. – Julia Aug 01 '14 at 10:15

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