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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/59601
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Fischer, Matthias | | en_US |
| dc.date.accessioned | | 2012-07-09 | | en_US |
| dc.date.accessioned | | 2012-07-11T14:24:48Z | | - |
| dc.date.available | | 2012-07-11T14:24:48Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/59601 | | - |
| dc.description.abstract | | We introduce a new skewed and leptokurtic distribution derived from the hyperbolic secant distribution and Johnson's S transformation. Properties of this new distribution are given. Finally, we empirically demonstrate in the context of financial return data that its exibility is comparable to that of their most advanced peers. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangen | | en_US |
| dc.relation.ispartofseries | | IWQW Discussion Paper series 03/2012 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | hyperbolic secant distribution | | en_US |
| dc.subject.keyword | | SU-transformation | | en_US |
| dc.subject.keyword | | skewness | | en_US |
| dc.subject.keyword | | leptokurtosis | | en_US |
| dc.subject.keyword | | polynomial tails | | en_US |
| dc.title | | A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 719072522 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:iwqwdp:032012 | | - |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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