Generalized hyperbolic secant distributions. With applications to finance

DOI10.1007/978-3-642-45138-6MaRDI QIDQ2437607zbMATH OpenOpenAlexFDO

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

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)

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• THE GENERALIZED SECANT HYPERBOLIC DISTRIBUTION AND ITS PROPERTIES
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Cited in

(7)

• THE GENERALIZED SECANT HYPERBOLIC DISTRIBUTION AND ITS PROPERTIES
• 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
• Hyperbolic distributions in finance
• Parametric bootstrap edf-based goodness-of-fit testing for sinh-arcsinh distributions
• On deformation technique of the hyperbolic secant distribution

Describes a project that uses

Uses Software

• R

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