On the characteristic function for asymmetric Student t distributions

•Arguments are given for asymmetric Student t distributions to be the most versatile models for financial returns.•Closed-form expressions are derived for the characteristic function of asymmetric Student t distributions.•The use of characteristic functions in the econometric literature discussed.

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.