A New Distribution-Random Limit Normal Distribution

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MaRDI QIDQ6240926zbMATH OpenFDO

Authors Xiaolin Gong, Shuzhen Yang

Publication date 4 April 2013




Abstract: This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.












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