Asymmetric Laplace laws and modeling financial data

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1003-1021

  Kozubowski, T J ^a   Podgorski K ^b  

^a UNIVERSITY OF NEVADA   (United States)

^b INDIANA UNIVERSITY   (United States)

Author keywords

Compound distribution; Currency exchange rates; Geometric stable law; Heavy tailed modeling; Laplace distribution; Leptokurtic distribution; Linnik distribution; Mathematical finance; Random summation; Scale mixture of normal distributions; Stable Paretian distribution

Indexed keywords

EID: 0035943929     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00114-5     Document Type: Article

References (30)

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9. A multivariate Linnik distribution
10. Elliptically symmetric distributions
11. The variance gamma process and option pricing
12. Asymmetric Laplace distributions
13. An examination of foreign exchange risk under fixed and floating rate regimes
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16. The distribution of foreign exchange price changes: Trading day effects and risk measurement - A reply
17. The distribution of foreign exchange price changes: Trading day effects and risk measurement - A comment
18. Probability distribution of exchange rate changes
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22. Hyperbolic distributions and ramifications: Contributions to theory and application
23. Semi-α-Laplace distributions