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https://hdl.handle.net/10419/59601
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fischer, Matthias | en |
dc.date.accessioned | 2012-07-09 | - |
dc.date.accessioned | 2012-07-11T14:24:48Z | - |
dc.date.available | 2012-07-11T14:24:48Z | - |
dc.date.issued | 2012 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnberg | en |
dc.relation.ispartofseries | |aIWQW Discussion Papers |x03/2012 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | hyperbolic secant distribution | en |
dc.subject.keyword | SU-transformation | en |
dc.subject.keyword | skewness | en |
dc.subject.keyword | leptokurtosis | en |
dc.subject.keyword | polynomial tails | en |
dc.title | A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 719072522 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:iwqwdp:032012 | en |
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