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The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution

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  • Higbee, Joshua D.
  • Jensen, Jonathan E.
  • McDonald, James B.

Abstract

The asymmetric log-Laplace (ALL) and the generalized beta distribution of the second kind (GB2) have been used in many applications. We demonstrate that the ALL is a limiting case of the GB2 and examine their ability to model stock returns.

Suggested Citation

  • Higbee, Joshua D. & Jensen, Jonathan E. & McDonald, James B., 2019. "The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 73-78.
    • Handle: RePEc:eee:stapro:v:151:y:2019:i:c:p:73-78
    DOI: 10.1016/j.spl.2019.03.018
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    References listed on IDEAS

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    Cited by:

    1. Wang, Frank Xuyan, 2021. "Shape factor asymptotic analysis II," MPRA Paper 110827, University Library of Munich, Germany.

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