Tailweight, quantiles and kurtosis: A study of competing distributions

Authors:
Thomas Fung;Eugene Seneta
Affiliations:
School of Mathematics and Statistics, University of Sydney, NSW 2006, Australia;School of Mathematics and Statistics, University of Sydney, NSW 2006, Australia
Venue:
Operations Research Letters
Year:
2007

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Abstract

This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), t, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct competitor of the t in the financial context of modeling the distribution of log-price increments.