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A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form

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  • Fischer, Matthias

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.

Suggested Citation

  • Fischer, Matthias, 2012. "A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form," FAU Discussion Papers in Economics 03/2012, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    • Handle: RePEc:zbw:iwqwdp:032012
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    References listed on IDEAS

    as
    1. Ivana Komunjer, 2007. "Asymmetric power distribution: Theory and applications to risk measurement," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 891-921.
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    More about this item

    Keywords

    hyperbolic secant distribution; SU-transformation; skewness; leptokurtosis; polynomial tails;
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