The modified Weibull distribution for asset returns

DOI10.1080/14697680600876492MaRDI QIDQ3437401zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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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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