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Volumn 35, Issue 4, 2007, Pages 448-454

Tailweight, quantiles and kurtosis: A study of competing distributions

Author keywords

Exponential power (EP) distribution; Kurtosis; Laplace distribution; Mixing on normal variance; Origin neighborhood; Quantiles; Symmetric; t Distribution; Tailweight; Variance gamma (VG) distribution

Indexed keywords

ASYMPTOTIC STABILITY; FINANCE; LAPLACE EQUATION; MATHEMATICAL MODELS; NUMERICAL METHODS;

EID: 34248512976     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2006.07.003     Document Type: Article
Times cited : (13)

References (11)
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    • Choy S.T.B., and Smith A.F.M. On robust analysis of a normal location parameter. J. R. Stat. Soc. 59 2 (1997) 463-474
    • (1997) J. R. Stat. Soc. , vol.59 , Issue.2 , pp. 463-474
    • Choy, S.T.B.1    Smith, A.F.M.2
  • 4
    • 2342567048 scopus 로고    scopus 로고
    • On the controversy over tailweight of distributions
    • Heyde C.C., and Kou S.G. On the controversy over tailweight of distributions. Oper. Res. Lett. 32 (2004) 399-408
    • (2004) Oper. Res. Lett. , vol.32 , pp. 399-408
    • Heyde, C.C.1    Kou, S.G.2
  • 6
    • 0000903441 scopus 로고
    • The variance-gamma (V.G.) model for share market returns
    • Madan D.B., and Seneta E. The variance-gamma (V.G.) model for share market returns. J. Bus. 63 (1990) 511-524
    • (1990) J. Bus. , vol.63 , pp. 511-524
    • Madan, D.B.1    Seneta, E.2
  • 9
    • 22244469229 scopus 로고    scopus 로고
    • Fitting the variance-gamma model to financial data
    • Seneta E. Fitting the variance-gamma model to financial data. J. Appl. Probab. 41A Heyde Festschrift (2004) 177-187
    • (2004) J. Appl. Probab. , vol.41 A , Issue.Heyde Festschrift , pp. 177-187
    • Seneta, E.1
  • 10
    • 0041337356 scopus 로고
    • A note on the asymptotic distribution of quantiles
    • Walker A.M. A note on the asymptotic distribution of quantiles. J. R. Stat. Soc. Ser. B 30 (1968) 570-575
    • (1968) J. R. Stat. Soc. Ser. B , vol.30 , pp. 570-575
    • Walker, A.M.1
  • 11
    • 0039713775 scopus 로고
    • On scale mixtures of normal distributions
    • West M. On scale mixtures of normal distributions. Biometrika 74 (1987) 646-648
    • (1987) Biometrika , vol.74 , pp. 646-648
    • West, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.