Modelling exchange rate returns: which flexible distribution to use?

DOI10.1080/14697688.2014.942231zbMath1406.91505OpenAlexW2026672835MaRDI QIDQ4619490

Canan G. Corlu, Alper Corlu

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.942231

zbMATH Keywords

normal inverse Gaussian distributionrisk managementgeneralized lambda distributionexchange rate returnsJohnson family of distributionsskewed \(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (2)

Linking Tukey's legacy to financial risk measurement ⋮ Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Numerical maximum log likelihood estimation for generalized lambda distributions
• Estimating the parameters of a generalized lambda distribution
• Hyperbolic distributions in finance
• Strategic long-term financial risks: single risk factors
• Estimating the Parameters of the Generalized Lambda Distribution: Which Method Performs Best?
• a study of the generalized tukey lambda family
• On Bayesian Modeling of Fat Tails and Skewness
• The Probability Plot Correlation Coefficient Test for Normality
• Autoregressive Conditional Density Estimation
• A new class of multivariate skew distributions with applications to bayesian regression models
• An algorithm to determine the parameters ofS_U-curves in the johnson system of probabillity distributions by moment matching^∗
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A Skew Extension of the T-Distribution, with Applications
• An approximate method for generating asymmetric random variables
• Some Properties of the Range in Samples from Tukey's Symmetric Lambda Distributions
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Low Moments for Small Samples: A Comparative Study of Order Statistics
• A Test of Goodness of Fit
• Apparent scaling
• A general class of multivariate skew-elliptical distributions

This page was built for publication: Modelling exchange rate returns: which flexible distribution to use?