Asymmetric laplace laws and modeling financial data

By Tomaz J. Kozubowski, Krzysztof Podgórski. 2001

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f8c065b96102d5a51f0c5b88be2b652fd4addd6b

How researchers see this paper

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

In Economics and Econometrics

1. W. Reed
2. Murray Jorgensen
3. John Douglas Opdyke
4. Kristian Giesen
5. Jens Südekum
6. Alex Coad
7. Yannis M. Ioannides
8. Alexis Akira Toda

In Finance

1. W. Reed
2. Murray Jorgensen
3. John Douglas Opdyke
4. Kristina Lerman
5. Kristian Giesen
6. Jens Südekum
7. Rumi Ghosh
8. Yatharth Dubey

Citations in the corpus

• The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions (2004, background): “Various alternatives have been proposed including the asymmetric Laplace distribution (eg, Kozubowski and Podgorski, 2001 ; Madan and Milne, 1991 ); and the generalized hyperbolic (Eberlein, 2001 ).”
• Comparing Sharpe ratios: So where are the p-values? (2007, background): “And while extensive study has been made of returns under a Laplacian (double exponential) framework (see Cajigas & Urga, 2005, Kotz, Kozubowski & Podgorski, 2001, Kozubowski & Podgorski, 2001, and Linden, 2001), including, more recently, the asymmetric Laplacian distribution, there exists empirical ”