Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns

DOI10.1080/03610926.2020.1751202OpenAlexW3019590231MaRDI QIDQ5079250

Luca Bagnato, Maria Grazia Zoia, Antonio Punzo

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1751202

zbMATH Keywords

momentsorthogonal polynomialselliptical distributionsexcess kurtosisfinancial returns

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• R
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• Learning a Mahalanobis distance metric for data clustering and classification
• On the theory of elliptically contoured distributions
• Estimating the dimension of a model
• Parametric statistical theory: with the assistance of R. Hamböker
• A survey on continuous elliptical vector distributions
• Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence
• Semi-parametric modelling in finance: theoretical foundations
• The multivariate leptokurtic‐normal distribution and its application in model‐based clustering
• Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials
• Portfolio Analysis in a Stable Paretian Market
• Measures of multivariate skewness and kurtosis with applications
• A new look at the statistical model identification