Tailweight, quantiles and kurtosis: A study of competing distributions

被引：10
|
作者：
Fung, Thomas [1 ]
Seneta, Eugene [1 ]
机构：
[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
来源：
OPERATIONS RESEARCH LETTERS | 2007年 / 35卷 / 04期
关键词：
variance-gamma (VG) distribution; laplace distribution; t-distribution; exponential-power (EP) distribution; symmetric; mixing on normal variance; quantiles; tailweight; origin neighborhood; kurtosis;
D O I：
10.1016/j.orl.2006.07.003
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (c) 2006 Elsevier B.V. All rights reserved.
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页码：448 / 454
页数：7
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