Explicit models for bilateral fat-tailed distributions and applications in finance with the package FatTailsR

Modèles explicites pour des distributions à queues épaisses et applications en finance avec le package FatTailsR

Patrice Kiener ()
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Patrice Kiener: InModelia

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Abstract: We introduce a new family of proabability distributions tailored to skewed and fat tails and we describe their applications on selected datasets in market finance. We also mention the R package FatTailsR which was used for all figures and can be considered as a proof of concept. This is the first public presentation of these new distributions.

Keywords: distribution; fat tails; skewed tails; finance (search for similar items in EconPapers)
Date: 2014-06-26
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Published in 8th R/Rmetrics Workshop 2014, Diethelm Wuertz and Patrick Hénaff, Jun 2014, Paris, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01343711

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