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Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...
Persistent link: https://www.econbiz.de/10003903470
Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...
Persistent link: https://www.econbiz.de/10003903608
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domestic volatility after good shocks but a bad hedge after crashes …
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financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions …
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We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …
Persistent link: https://www.econbiz.de/10009577459