Naguez, Naceur; Prigent, Jean-Luc - In: Recent developments in alternative finance : empirical …, (pp. 247-272). 2012
Purpose – The purpose of this chapter is to estimate non-Gaussian distributions by means of Johnson distributions. An empirical illustration on hedge fund returns is detailed. Methodology/approach – To fit non-Gaussian distributions, the chapter introduces the family of Johnson distributions...
