Classes of skewed generalized hyperbolic secant distributions

A generalization of the hyperbolic secant distribution which allows both forskewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan(2002) proposed another flexible generalization of the hyperbolic secant distributionwhich has a lot of nice properties but is not able to allow for skewness. For thatreason, we additionally introduce a skewness parameter by means of splitting thescale parameter and show that most of the nice properties are preserved. Finally,we compare both families with respect to their ability to model financial returndistributions.