Classes of skew generalized hyperbolic secant distributions
AbstractA generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For that reason, we additionally introduce a skewness parameter by means of splitting the scale parameter and show that most of the nice properties are preserved. Finally, we compare both families with respect to their ability to model financial return distributions. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 45/2002.
Date of creation: 2002
Date of revision:
Skewed hyperbolic secant; NEF-GHS distribution; GSH distribution; skewness; return data;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- McDonald, James B., 1991. "Parametric models for partially adaptive estimation with skewed and leptokurtic residuals," Economics Letters, Elsevier, vol. 37(3), pages 273-278, November.
- Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 99-128, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.