The empirical distributions of many financial asset returns and stock indexes present a leptokurtic and skewed shape which goes along with accentuated peakedness, fat tails and slimness of shoulders and a peak turned toward the longer tail. As in this case the celebrated Gaussian law fails to provide a valuable paradigm, research has first moved outside, looking at Gaussian-like leptokurtic distributions, and only recently has run back over the idea of reshaping the parent (Gaussian) density from “inside”, via (Hermite) orthogonal polynomials. In this paper the two approaches are combined to investigate the linear-hyperbolic (LH) leptokurtic distribution when it is reshaped by means of “its” orthogonal polynomials. The features of the parent and modified LH distributions are investigated from both theoretic and empirical-evidence standpoints

Zoia, M., Faliva, M., Nicolussi, F., Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness, <<Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness>>, 2016; (14/6): 1-25 [http://hdl.handle.net/10807/77531]

Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness

Zoia, Maria;Faliva, Mario;Nicolussi, Federica
2014

Abstract

The empirical distributions of many financial asset returns and stock indexes present a leptokurtic and skewed shape which goes along with accentuated peakedness, fat tails and slimness of shoulders and a peak turned toward the longer tail. As in this case the celebrated Gaussian law fails to provide a valuable paradigm, research has first moved outside, looking at Gaussian-like leptokurtic distributions, and only recently has run back over the idea of reshaping the parent (Gaussian) density from “inside”, via (Hermite) orthogonal polynomials. In this paper the two approaches are combined to investigate the linear-hyperbolic (LH) leptokurtic distribution when it is reshaped by means of “its” orthogonal polynomials. The features of the parent and modified LH distributions are investigated from both theoretic and empirical-evidence standpoints
Inglese
Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness
Vita e Pensiero
Zoia, M., Faliva, M., Nicolussi, F., Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness, <<Reshaping the Linear-Hyperbolic density by its orthogonal polynomials to embody possibly severe kurtosis and skewness>>, 2016; (14/6): 1-25 [http://hdl.handle.net/10807/77531]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/77531
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact