Tukey-type distributions in the context of financial data

Communications in Statistics - Theory and Methods

Volumn 36, Issue 1, 2007, Pages 23-35

  Fischer, Matthias ^a   Horn, Armin ^a   Klein, Ingo ^a  

^a UNIVERSITY OF ERLANGEN NUREMBERG   (Germany)

Author keywords

Financial return data; Kurtosis; Normal transformation; Skewness; Variable transformation

Indexed keywords

FINANCIAL DATA PROCESSING; MATHEMATICAL TRANSFORMATIONS; PARAMETER ESTIMATION; STATISTICAL METHODS;

FINANCIAL RETURN; GAUSSIAN DISTRIBUTION; KURTOSIS; SKEWNESS; VARIABLE TRANSFORMATION;

PROBABILITY DISTRIBUTIONS;

EID: 33847251099     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920500476382     Document Type: Article

References (17)

1. Badrinath, S. G., Chatteijee, S. (1988). On measuring skewness and elongation in common stock return distributions: The case of the market index. J. Bus. 61:451-472.
2. Badrinath, S. G., Chatterjee, S. (1991). A data-analytic look at skewness and elongation in common stock return distributions. J. Bus. Econ. Statist. 9:223-233.
3. Fischer, M. (2004). Skew generalized secant hyperbolic distributions: Unconditional and conditional fit to asset returns. Austrian J. Stat. 33(3):293-304.
4. Fischer, M., Klein, I. (2004). Kurtosis modeling by means of the J-transformation. J. German Stat. 88:35-50.
5. Haynes, M. A., MacGillivray, H. L., Mengersen, K. L. (1997). Robustness of ranking and selection rules using generalized g- and k-distributions. J. Statist. Plan. Inference 65:45-66.
6. Hoaglin, D. C. (1983). Summarizing shape numerically: the g- and h-distributions. In: Hoaglin, D. C., Mosteller, F., Tukey, J. W., eds. Data Analysis for Tables, Trends, and Shapes. New York: Wiley.
7. Klein, I., Fischer, M. (2006). Power kurtosis transformations: Definitions, properties, and ordering. J. German Stat. Soc. 90(3):395-401.
8. Martinez, J., Iglewicz, B. (1984). Some properties of the Tukey g and h family of distributions. Commun. Statist. Theor. Meth. 13:353-369.
9. McDonald, J. B. (1991). Parametric models for partial adaptive estimation with skewed and leptokurtic residuals. Econometric Lett. 37:273-288.
10. Mills, T. C. (1995). Modeling skewness and kurtosis in the London Stock exchange FT-SE index return distribution. Statistician 44(3):323-332.
11. Morgenthaler, S., Tukey, J. W. (2000). Fitting quantiles: Doubling, HR, HQ, and HHH distributions. J. Computat. Graph. Statist. 9(1):180-195.
12. Morris, C. N. (1982). Natural exponential families with quadratic variance functions. Ann. Statist. 10(1):65-80.
13. Prause, K. (1999). The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures. PhD thesis, University of Freiburg, Germany.
14. Theodossiou, P. (1998). Financial data and the skewed generalized t distribution. Math. Sci. 44(12):1650-1660.
15. Tukey, J. W. (1960). The practical relationship between the common transformations of counts of amounts. Technical Report No. 36. Princeton University Statistical Techniques Research Group, Princeton.
16. Tukey, J. W. (1977). Exploratory Data Analysis. Reading, MA: Addison-Wesley.
17. Vaughan, D. (2002). The generalized secant hyperbolic distribution and its properties. Commun. Stat. Theor. Math. 31(2):219-238.