TY - JOUR
T1 - Tailweight, quantiles and kurtosis
T2 - A study of competing distributions
AU - Fung, Thomas
AU - Seneta, Eugene
PY - 2007/7
Y1 - 2007/7
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=34248512976&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2006.07.003
DO - 10.1016/j.orl.2006.07.003
M3 - Article
AN - SCOPUS:34248512976
SN - 0167-6377
VL - 35
SP - 448
EP - 454
JO - Operations Research Letters
JF - Operations Research Letters
IS - 4
ER -