Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59601
Authors: 
Fischer, Matthias
Year of Publication: 
2012
Series/Report no.: 
IWQW Discussion Paper series 03/2012
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.
Subjects: 
hyperbolic secant distribution
SU-transformation
skewness
leptokurtosis
polynomial tails
Document Type: 
Working Paper

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