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Explicit models for bilateral fat-tailed distributions and applications in finance with the package FatTailsR
[Modèles explicites pour des distributions à queues épaisses et applications en finance avec le package FatTailsR]

Author

Listed:
  • Patrice Kiener

    (InModelia)

Abstract

We introduce a new family of proabability distributions tailored to skewed and fat tails and we describe their applications on selected datasets in market finance. We also mention the R package FatTailsR which was used for all figures and can be considered as a proof of concept. This is the first public presentation of these new distributions.

Suggested Citation

  • Patrice Kiener, 2014. "Explicit models for bilateral fat-tailed distributions and applications in finance with the package FatTailsR [Modèles explicites pour des distributions à queues épaisses et applications en finance," Post-Print hal-01343711, HAL.
    • Handle: RePEc:hal:journl:hal-01343711
    as

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