Financial Data Analysis with Two Symmetric Distributions

DOI10.2143/AST.31.1.1002zbMath1088.62514OpenAlexW2116858396MaRDI QIDQ4461290

Werner Hürlimann

Publication date: 30 March 2004

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.31.1.1002

Mathematics Subject Classification ID

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

Related Items (9)

General affine transform families: why is the Pareto an exponential transform? ⋮ Option pricing for log-symmetric distributions of returns ⋮ The General Segmented Distribution ⋮ An asymmetric multivariate weibull distribution ⋮ Option pricing for symmetric Lévy returns with applications ⋮ An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications ⋮ Analytical Bounds for two Value-at-Risk Functionals ⋮ Density estimation using non-parametric and semi-parametric mixtures ⋮ Tail Variance Premium with Applications for Elliptical Portfolio of Risks

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Limited expected value comparison tests
• Estimating the dimension of a model
• Extremal functions and financial gain
• Transformation theory: How normal is a family of distributions?
• On some expansions of stable distribution functions
• Modeling asset returns with alternative stable distributions^*
• On the characterization of maximum likelihood estimators for location-scale families

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