Arbeitspapier
Classes of skew generalized hyperbolic secant distributions
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
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fischer, Matthias J.
- Vaughan, David
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Entstanden
- 2002
Ähnliche Objekte (12)
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
Nonparametric risk management with generalized hyperbolic distributions
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Generalized hyperbolic secant distributions : with applications to finance
On the Numerics of Estimating Generalized HyperbolicDistributions
Generalized hyperbolic distributions : theory and applications to CDO pricing
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Generalized Matching Distributions
Generalized Weibull distributions
Generalized parton distributions
Natural (non-)informative priors for skew-symmetric distributions
Portfolio separation properties of the skew-elliptical distributions
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
Nonparametric risk management with generalized hyperbolic distributions
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Generalized hyperbolic secant distributions : with applications to finance
On the Numerics of Estimating Generalized HyperbolicDistributions
Generalized hyperbolic distributions : theory and applications to CDO pricing
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Generalized Matching Distributions
Generalized Weibull distributions
Generalized parton distributions
Natural (non-)informative priors for skew-symmetric distributions
Portfolio separation properties of the skew-elliptical distributions
Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns
Nonparametric risk management with generalized hyperbolic distributions
Nonparametric Risk Management with Generalized Hyperbolic Distributions
Generalized hyperbolic secant distributions : with applications to finance
On the Numerics of Estimating Generalized HyperbolicDistributions
Generalized hyperbolic distributions : theory and applications to CDO pricing
Skew-symmetric distributions and Fisher information : The double sin of the skew-normal
Generalized Matching Distributions
Generalized Weibull distributions
Generalized parton distributions
Natural (non-)informative priors for skew-symmetric distributions