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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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  • Markus Haas, 2009. "Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1277-1283.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1277-1283
    DOI: 10.1080/17446540802400441
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    Cited by:

    1. Saissi Hassani, Samir & Dionne, Georges, 2021. "The new international regulation of market risk: Roles of VaR and CVaR in model validation," Working Papers 20-3, HEC Montreal, Canada Research Chair in Risk Management.
    2. F. Pizzutilo, 2012. "The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(20), pages 1743-1752, October.
    3. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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