Modelling skewness and kurtosis with the skewed Gauss-Laplace sum distribution

被引：3

作者：

Haas, Markus ^{[1
]}

机构：

[1] Univ Munich, Dept Stat, D-80799 Munich, Germany

来源：

APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 12期

关键词：

RISK;

D O I：

10.1080/17446540802400441

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An asymmetric extension of the recently proposed (symmetric) Gauss-Laplace sum distribution for stock returns is developed, motivated by the fact that many stock return distributions display significant asymmetries. The properties of the new distribution, insofar as relevant for estimation, testing, and the modelling of skewness and kurtosis, are derived. An application to three major US stock return indices shows an excellent fit of the model, which outperforms many popular alternatives.

引用

页码：1277 / 1283

页数：7

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