Generalized hyperbolic secant distributions. With applications to finance

DOI10.1007/978-3-642-45138-6zbMATH Open1341.62009OpenAlexW2475387509MaRDI QIDQ2437607FDOQ2437607

Authors: Matthias Fischer 

Publication date: 4 March 2014

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-45138-6

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zbMATH Keywords

momentscharacteristic functionentropyparameter estimationcumulative distribution functionskewnessgoodness-of-fitinfinite divisibilityGARCH modelgeneralized gamma distributionEsscher transformationmoment-generating functionvariable transformationweighting functiontail functionfinancial returnhyperbolic secant distributionorder statistics approachPerk's distributionVaughan's skew version

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to statistics (62-04) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70)

Cited In (7)

• Hyperbolic distributions in finance
• Uniformly consistently estimating the proportion of false null hypotheses via Lebesgue-Stieltjes integral equations
• Random matrix models for datasets with fixed time horizons
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• THE GENERALIZED SECANT HYPERBOLIC DISTRIBUTION AND ITS PROPERTIES
• On deformation technique of the hyperbolic secant distribution
• Parametric bootstrap edf-based goodness-of-fit testing for sinh-arcsinh distributions

Uses Software

• R

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