Advertisement

Generalized Hyperbolic Secant Distributions

With Applications to Finance

  • Matthias J. Fischer

Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)

Table of contents

  1. Front Matter
    Pages i-viii
  2. Matthias J. Fischer
    Pages 1-13
  3. Matthias J. Fischer
    Pages 15-25
  4. Matthias J. Fischer
    Pages 27-36
  5. Matthias J. Fischer
    Pages 37-43
  6. Matthias J. Fischer
    Pages 45-53
  7. Matthias J. Fischer
    Pages 55-69
  8. Back Matter
    Pages 71-72

About this book

Introduction

​Among the symmetrical distributions with an infinite domain, the most popular alternative to the normal variant is the logistic distribution as well as the Laplace or the double exponential distribution, which was first introduced in 1774. Occasionally, the Cauchy distribution is also used. Surprisingly, the hyperbolic secant distribution has led a charmed life, although Manoukian and Nadeau had already stated in 1988 that “... the hyperbolic-secant distribution ... has not received sufficient attention in the published literature, and may be useful for students and practitioners.” During the last few years, however, several generalizations of the hyperbolic secant distribution have become popular in the context of financial return data because of its excellent fit. Nearly all of them are summarized within this SpringerBrief.

Keywords

62E15, 62P20, 91G70, 91B70, 91B84 asymmetry distributions financial returns heavy tails

Authors and affiliations

  • Matthias J. Fischer
    • 1
  1. 1.Dept. of Statistics & EconometricsFriedrich-Alexander-Universität Erlangen-NürnbergNurembergGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-45138-6
  • Copyright Information The Author(s) 2014
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-45137-9
  • Online ISBN 978-3-642-45138-6
  • Series Print ISSN 2191-544X
  • Series Online ISSN 2191-5458
  • Buy this book on publisher's site
Industry Sectors
Pharma
Materials & Steel
Biotechnology
Finance, Business & Banking
Electronics
Telecommunications
Aerospace
Oil, Gas & Geosciences
Engineering