A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form

Matthias Fischer

No 03/2012, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

Abstract: 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 that of their most advanced peers.

Keywords: hyperbolic secant distribution; SU-transformation; skewness; leptokurtosis; polynomial tails (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:032012

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