Tailweight, quantiles and kurtosis: A study of competing distributions

DOI10.1016/J.ORL.2006.07.003zbMath1120.62012OpenAlexW2003066751MaRDI QIDQ2457260

Eugene Seneta, Thomas Fung

Publication date: 30 October 2007

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2006.07.003

zbMATH Keywords

kurtosisquantilesLaplace distributiontailweight\(t\)-distributionexponential-power (EP) distributionmixing on normal varianceorigin neighborhoodVariance-gamma (VG) distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (4)

Tail dependence and skew distributions ⋮ ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density ⋮ A new skew generalization of the normal distribution: properties and applications ⋮ ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density

Cites Work

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• On the controversy over tailweight of distributions.
• Subordinated market index models: A comparison
• Hierarchical models with scale mixtures of normal distributions
• On scale mixtures of normal distributions
• Fitting the variance-gamma model to financial data
• Bayesian analysis of a three-component hierarchical design model

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