Article ID Journal Published Year Pages File Type
1143087 Operations Research Letters 2007 7 Pages PDF
Abstract

This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), tt, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct competitor of the tt in the financial context of modeling the distribution of log-price increments.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Tailweight, quantiles and kurtosis: A study of competing distributions
Authors
, ,