Abstract
As seen in Chapter 4, usually the marginal distributions of financial time series are not well fit by normal distributions. Fortunately, there are a number of suitable alternative models, such as t-distributions, generalized error distributions, and skewed versions of t- and generalized error distributions. All of these will be introduced in this chapter.
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© 2011 Springer Science+Business Media, LLC
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Ruppert, D. (2011). Modeling Univariate Distributions. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7787-8_5
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DOI: https://doi.org/10.1007/978-1-4419-7787-8_5
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Online ISBN: 978-1-4419-7787-8
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