Classes of skew generalized hyperbolic secant distributions

Matthias J. Fischer and David Vaughan

No 45/2002, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics

Abstract: A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness. For that reason, we additionally introduce a skewness parameter by means of splitting the scale parameter and show that most of the nice properties are preserved. Finally, we compare both families with respect to their ability to model financial return distributions.

Keywords: Skewed hyperbolic secant; NEF-GHS distribution; GSH distribution; skewness; return data (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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