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.

MoreLess

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

More details

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://ebvufind01.dmz1.zbw.eu/10010309310