The modified Weibull distribution for asset returns

DOI10.1080/14697680600876492zbMATH Open1134.91564OpenAlexW2081448525MaRDI QIDQ3437401FDOQ3437401

Authors: Samuel Kotz, Saralees Nadarajah 

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600876492

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Mathematics Subject Classification ID

Economic time series analysis (91B84) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Empirical distributions of stock returns: between the stretched exponential and the power law?

Cited In (5)

• Modeling and simulation of financial returns under non-Gaussian distributions
• The modified weibull distribution for asset returns: reply
• Modeling asset returns with alternative stable distributions^*
• Comparison of estimation methods for the Weibull distribution
• Review of asset return distribution and its application

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