Financial Data Analysis with Two Symmetric Distributions

DOI10.2143/AST.31.1.1002MaRDI QIDQ4461290zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• Modeling asset returns with alternative stable distributions^*
• Laplace-Weibull Mixtures for Modeling Price Changes
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• The odd log-logistic Weibull-G family of distributions with regression and financial risk models
• On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• Estimating the dimension of a model
• Extremal functions and financial gain
• Limited expected value comparison tests
• Modeling asset returns with alternative stable distributions^*
• On some expansions of stable distribution functions
• On the characterization of maximum likelihood estimators for location-scale families
• The pricing of options and corporate liabilities
• Transformation theory: How normal is a family of distributions?

Cited in

(11)

• Visualization and statistical modeling of financial big data: double-log modeling with skew-symmetric error distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Option pricing for log-symmetric distributions of returns
• A class of claim distributions: Properties, characterizations and applications to insurance claim data
• An asymmetric multivariate weibull distribution
• Analytical Bounds for two Value-at-Risk Functionals
• An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications
• General affine transform families: why is the Pareto an exponential transform?
• Option pricing for symmetric Lévy returns with applications
• The general segmented distribution
• Density estimation using non-parametric and semi-parametric mixtures

This page was built for publication: Financial Data Analysis with Two Symmetric Distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4461290)