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
Institutions:	Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
Subject:	hyperbolic secant distribution \| SU-transformation \| skewness \| leptokurtosis \| polynomial tails

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Extent:	application/pdf
Series:	IWQW Discussion Paper Series. - ISSN 1867-6707.
Type of publication:	Book / Working Paper
Notes:	Number 03/2012
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010954442