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Kurtosis ordering of the generalized secant hyperbolic distribution: A technical note

Klein, Ingo; Fischer, Matthias - 2003

both introduce an additionalparameter that governs the kurtosis of the generalized distribution. Thegeneralized hyperbolic … parameterof the GSH distribution is actually a kurtosis parameter in the senseof van Zwet (1964). …

Persistent link: https://www.econbiz.de/10005857557

Kurtosis transformation and kurtosis ordering

Klein, Ingo; Fischer, Matthias - 2003

Leptokurtic distributions can be generated by applying certainnon-linear transformations to a standard normal random variable. Withinthis work we derive general conditions for these transformations which guaranteethat the generated distributions are ordered with respect to the partialordering of...

Persistent link: https://www.econbiz.de/10005857558

Tukey-type distributions in the context of financial data

Fischer, Matthias; Horn, Armin; Klein, Ingo - 2003

Using the Gaussian distribution as statistical model for data sets is widely spread, especiallyin practice. However, departure from normality seems to be more the rule than theexception. The H-distributions, introduced by Tukey (1960, 1977), are generated by a singletransformation...

Persistent link: https://www.econbiz.de/10005857560

Kurtosis modelling by means of the J-transformation

Fischer, Matthias; Klein, Ingo - 2003

The H−family of distributions or H−distributions, introduced byTukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...

Persistent link: https://www.econbiz.de/10005857563

Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns

Fischer, Matthias - 2002

A generalization of the hyperbolic secant distribution which allows bothfor skewness and for leptokurtosis was given by Morris (1982). Recently,Vaughan (2002) proposed another flexible generalization of the hyperbolic secantdistribution which has a lot of nice properties but is not able to...

Persistent link: https://www.econbiz.de/10005857572

Classes of skewed generalized hyperbolic secant distributions

Fischer, Matthias; Vaughan, David - 2002

A generalization of the hyperbolic secant distribution which allows both forskewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan(2002) proposed another flexible generalization of the hyperbolic secant distributionwhich has a lot of nice properties but is not able to allow...

Persistent link: https://www.econbiz.de/10005857583

"Solving the Esscher puzzle" - The NEF-GHS option pricing model

Fischer, Matthias - 2002

With the celebrated model of Black and Scholes in 1973 the development ofmodern option pricing models started. One of the assumptions of the Blackand Scholes model is that the risky asset evolves according to a geometricBrownian motion which implies normally distributed log-returns. As...

Persistent link: https://www.econbiz.de/10005857586

gh-transformierte symmetrische Verteilungen

Klein, Ingo - 2000

Tukey (1960) derived via the technique of transformation of variables starting from the normal distribution a family of skewed and leptokurtic distributions. Skewness and leptokurtosis are determined by two parameters g and h. Therefore, the family was called family gh-distributions. We modify...

Persistent link: https://www.econbiz.de/10005857589

The Folded EGB2 distribution and its application to financial return data

Fischer, Matthias - 2000

modeling skewness absolutly greater than 2 and kurtosis higher than 9. To remove this shortcoming, an additional parameter is …

Persistent link: https://www.econbiz.de/10005857647

Moment Component Analysis: An Illustration with International Stock Markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - National Centre of Competence in Research - Financial … - 2010

ComponentAnalysis to higher moments such as skewness and kurtosis. This method allows usto identify factors that drive the co …-skewness and co-kurtosis across assets. Thesefactors have interesting interpretations, for instance as hedges against increases … a total of 763 observations. We assertthat both the co-skewness and co-kurtosis structures can be summarized with a …

Persistent link: https://www.econbiz.de/10009486996