Tailweight, quantiles and kurtosis : a study of competing distributions | Macquarie University ResearchOnline

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Title: Tailweight, quantiles and kurtosis : a study of competing distributions
Related: Operations research letters, Vol. 35, No. 4, (2007), p.448-454
DOI: 10.1016/j.orl.2006.07.003
Publisher: Elsevier
Date: 2007
Author/Creator: Fung, Thomas
Author/Creator: Seneta, Eugene
Description: This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), t, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct competitor of the t in the financial context of modeling the distribution of log-price increments.
Description: 7 page(s)
Subject Keyword: Exponential-power (EP) distribution
Subject Keyword: Kurtosis
Subject Keyword: Laplace distribution
Subject Keyword: Mixing on normal variance
Subject Keyword: Origin neighborhood
Subject Keyword: Quantiles
Subject Keyword: Symmetric
Subject Keyword: t-Distribution
Subject Keyword: Tailweight
Subject Keyword: Variance-gamma (VG) distribution
Resource Type: journal article
Organisation: Macquarie University. Dept. of Statistics

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