Tailweight, quantiles and kurtosis: A study of competing distributions

Tailweight, quantiles and kurtosis: A study of competing distributions

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Article ID: iaor20083475
Country: Netherlands
Volume: 35
Issue: 4
Start Page Number: 448
End Page Number: 454
Publication Date: Jul 2007
Journal: Operations Research Letters
Authors: ,
Abstract:

This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), t, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct competitor of the t in the financial context of modeling the distribution of log-price increments.

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