Title of article :
Asymmetric laplace laws and modeling financial data
Author/Authors :
Kozubowski، نويسنده , , T.J. and Podgَrski، نويسنده , , K.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Pages :
19
From page :
1003
To page :
1021
Abstract :
Asymmetric Laplace laws form a subclass of geometric stable distributions, the limiting laws in the random summation scheme with a geometric number of terms. Among geometric stable laws, they play a role analogous to that of normal distribution among stable Paretian laws. However, with steeper peaks and heavier tails than normal distribution, asymmetric Laplace laws reflect properties of empirical financial data sets much better than the normal model. Despite heavier than normal tails, they have finite moments of any order. In addition, explicit analytical forms of their one-dimensional densities and convenient computational forms of their multivariate densities make estimation procedures practical and relatively easy to implement. Thus, asymmetric Laplace laws provide and interesting, efficient, and user friendly alternative to normal and stable Paretian distributions for modeling financial data. We present an overview of the theory of asymmetric Laplace laws and their applications in modeling currency exchange rates.
Keywords :
Compound distribution , Currency exchange rates , Geometric stable law , Heavy tailed modeling , Laplace distribution , Leptokurtic distribution , Mathematical finance , Random summation , Scale mixture of normal distributions , Stable Paretian distribu , Linnik distribution
Journal title :
Mathematical and Computer Modelling
Serial Year :
2001
Journal title :
Mathematical and Computer Modelling
Record number :
1592251
Link To Document :
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