Generalized hyperbolic secant distributions. With applications to finance

DOI10.1007/978-3-642-45138-6zbMath1341.62009OpenAlexW2475387509MaRDI QIDQ2437607

Matthias Fischer

Publication date: 4 March 2014

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-45138-6

zbMATH Keywords

momentsentropyparameter estimationvariable transformationcharacteristic functionmoment-generating functiongoodness-of-fitinfinite divisibilityskewnessgeneralized gamma distributionweighting functionGARCH modelcumulative distribution functionEsscher transformationtail functionfinancial returnhyperbolic secant distributionorder statistics approachPerk's distributionVaughan's skew version

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (3)

Parametric bootstrap edf-based goodness-of-fit testing for sinh-arcsinh distributions ⋮ Uniformly consistently estimating the proportion of false null hypotheses via Lebesgue-Stieltjes integral equations ⋮ Random matrix models for datasets with fixed time horizons

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