Showing 1 - 9 of 9
was refined by Ferreira and Steel. Up to now, it is an open question whether the famous skewness ordering of van Zwet will … be preserved for this proposal. There is a general condition under which the van Zwets skewness ordering will be …. Therefore, for the skewness mechanism we choose a special beta distribution with only one parameter. Then, we get three results …
Persistent link: https://www.econbiz.de/10009385880
incorporates a well-defined parameter of skewness. It is well-defined in the sense that the parameter of skewness is compatible … a measure of skewness in the sense of Oja (1981). In the special case considered by Fechner (1897) this measure and the … skewness parameter coincide. …
Persistent link: https://www.econbiz.de/10009228824
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...
Persistent link: https://www.econbiz.de/10010954442
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
Persistent link: https://www.econbiz.de/10008518271
There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies … density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the … generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one …
Persistent link: https://www.econbiz.de/10008543752
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002 …) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties …
Persistent link: https://www.econbiz.de/10008543753
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … 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 …
Persistent link: https://www.econbiz.de/10008543757
take skewness into account by means of certain transformations, several generalizations and extensions (HQ …
Persistent link: https://www.econbiz.de/10008543760
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10008493567