Abstract
We introduce a skewness parameter into Vaughan’s (2002) generalized secant hyperbolic (GSH) distribution by means of exponential tilting and develop some properties of the new distribution family. In particular, the moment-generating function is derived which ensures the existence of all moments. Finally, the flexibility of our distribution is compared to similar parametric models by means of moment-ratio plots and application to foreign exchange rate data.
Publisher
Austrian Statistical Society
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
6 articles.
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1. Asymmetric generalizations of symmetric univariate probability distributions obtained through quantile splicing;Communications in Statistics - Theory and Methods;2019-04-26
2. wHS-type distributions with application to finance;Journal of Statistics and Management Systems;2017-01-02
3. The GSH Distribution Family and Skew Versions;Generalized Hyperbolic Secant Distributions;2013-12-21
4. Application to Finance;Generalized Hyperbolic Secant Distributions;2013-12-21
5. GSH Dependence Modeling with an Application to Risk Management;Communications in Statistics - Theory and Methods;2012-08