A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form

Matthias Fischer

We introduce a new skewed and leptokurtic distribution derived from the hyperbolic secant distribution and Johnson's S transformation. Properties of this new distribution are given. Finally, we empirically demonstrate in the context of financial return data that its exibility is comparable to that of their most advanced peers. -- hyperbolic secant distribution ; SU-transformation ; skewness ; leptokurtosis ; polynomial tails

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Year of publication:	2012
Authors:	Fischer, Matthias
Publisher:	Erlangen : Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung
Subject:	Statistische Verteilung \| Statistical distribution \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price

Extent:	Online-Ressource (PDF-Datei: [18] S., 399,29 KB)
Series:	IWQW discussion paper series. - Erlangen : [Verlag nicht ermittelbar], ISSN 1867-6707, ZDB-ID 2523749-4. - Vol. 03/2012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/59601 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009558500