Skewed Generalized Error Distribution of Financial Assets and Option Pricing

124 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

CEO age and stock price crash risk (2017, result): “This finding is in line with prior evidence that show that simple returns are not normal but exhibit negative skewness (Chen et al., 2001; Harvey and Siddique, 2000; Theodossiou, 2015).”
Properties and Estimation of Asymmetric Exponential Power Distribution (2007, methodology): “By a method similar to that of Fernandez et al (1995), Theodossiou (2000) and Komunjer (2007), respectively, constructed seemingly di¤erent classes of SEPD, which are actually reparametrizations of that of Fernandez et al (1995).”
Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2013, background): “Other distributions proposed in the literature include the skewed-t distribution (Hansen, 1994), the generalized error distribution (Nelson, 1991) and the skewed generalized error distribution (Theodossiou, 2000).”