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Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution

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  • Markus Haas

Abstract

An asymmetric extension of the recently proposed (symmetric) Gauss-Laplace sum distribution for stock returns is developed, motivated by the fact that many stock return distributions display significant asymmetries. The properties of the new distribution, insofar as relevant for estimation, testing, and the modelling of skewness and kurtosis, are derived. An application to three major US stock return indices shows an excellent fit of the model, which outperforms many popular alternatives.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540802400441&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 16 (2009)
Issue (Month): 12 ()
Pages: 1277-1283

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Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1277-1283

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Cited by:
  1. Pilar Abad & Sonia Benito & Miguel Angel Sánchez Granero & Carmen López, 2013. "A Capital Adequacy Buffer Model," Documentos del Instituto Complutense de Análisis Económico 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.

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