EconStor >
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Lehrstuhl für Statistik und Ökonometrie, Universität Erlangen-Nürnberg >
Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/29587
  
Title:Kurtosis modelling by means of the J-transformation PDF Logo
Authors:Fischer, Matthias J.
Klein, Ingo
Issue Date:2003
Series/Report no.:Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 51/2003
Abstract:The H-family of distributions or H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated leptokurtic distributions by applying the K-transformation to the normal distribution. In this study we propose a third transformation - the so-called J-transformation - and derive some properties of this transformation. Moreover, so-called elongation generating functions (EGF’s) are introduced. By means of EGF's we are able to visualize the strength of tail elongation and to construct new transformations. Finally, we compare the three transformations towards their goodness-of-fit in the context of financial return data.
Subjects:kurtosis
variable transformation
normal transformation
tail elongation.
Document Type:Working Paper
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

Files in This Item:
File Description SizeFormat
614042682.pdf346.83 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/29587

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.