Tailweight, quantiles and kurtosis: A study of competing distributions

Thomas Fung, Eugene Seneta*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)448-454
Number of pages7
JournalOperations Research Letters
Issue number4
Publication statusPublished - Jul 2007
Externally publishedYes


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