Tailweight, quantiles and kurtosis: A study of competing distributions

Thomas Fung; Eugene Seneta

doi:10.1016/j.orl.2006.07.003

Tailweight, quantiles and kurtosis: A study of competing distributions

Thomas Fung, Eugene Seneta^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	448-454
Number of pages	7
Journal	Operations Research Letters
Volume	35
Issue number	4
DOIs	https://doi.org/10.1016/j.orl.2006.07.003
Publication status	Published - Jul 2007
Externally published	Yes

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10.1016/j.orl.2006.07.003

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title = "Tailweight, quantiles and kurtosis: A study of competing distributions",

abstract = "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.",

author = "Thomas Fung and Eugene Seneta",

year = "2007",

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doi = "10.1016/j.orl.2006.07.003",

language = "English",

volume = "35",

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journal = "Operations Research Letters",

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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 - https://www.scopus.com/pages/publications/34248512976

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 -

Tailweight, quantiles and kurtosis: A study of competing distributions

Abstract

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