The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution

Joshua D. Higbee, Jonathan E. Jensen and James McDonald

Statistics & Probability Letters, 2019, vol. 151, issue C, 73-78

Abstract: The asymmetric log-Laplace (ALL) and the generalized beta distribution of the second kind (GB2) have been used in many applications. We demonstrate that the ALL is a limiting case of the GB2 and examine their ability to model stock returns.

Keywords: Beta prime; Feller–Pareto; GB2; Generalized F; Double Pareto; Stock returns (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2019.03.018

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