Work

A New Distribution-Random Limit Normal Distribution

Year: 2013

Type: preprint

Abstract: This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1304.1598

Authors: Gong, Xiaolin, Yang, Shuzhen

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1737545269

Cites: 4

Cited by:

Related to: 10