The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
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Publication:894875
DOI10.1007/s00362-014-0633-3zbMath1416.62579MaRDI QIDQ894875
Luca Bagnato, Valerio Potì, Maria Grazia Zoia
Publication date: 24 November 2015
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-014-0633-3
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
33C45: Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.)
Related Items
Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns, Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
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