Arbeitspapier

Classes of skew generalized hyperbolic secant distributions

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

Sprache
Englisch

Erschienen in
Series: Diskussionspapier ; No. 45/2002

Klassifikation
Wirtschaft
Thema
Skewed hyperbolic secant
NEF-GHS distribution
GSH distribution
skewness
return data

Ereignis
Geistige Schöpfung
(wer)
Fischer, Matthias J.
Vaughan, David
Ereignis
Veröffentlichung
(wer)
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
(wo)
Nürnberg
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fischer, Matthias J.
  • Vaughan, David
  • Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie

Entstanden

  • 2002

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