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

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.

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Year of publication:	2012
Authors:	Fischer, Matthias
Publisher:	Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
Subject:	hyperbolic secant distribution \| SU-transformation \| skewness \| leptokurtosis \| polynomial tails

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Series:	IWQW Discussion Papers ; 03/2012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	719072522 [GVK] hdl:10419/59601 [Handle] RePEc:zbw:iwqwdp:032012 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010309310