Lomax-Pearson type VII distribution with application to financial stock returns

Iman Al Hashmi

Lomax-Pearson type VII distribution with application to financial stock returns

Section Of Mathematics And Computer

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

The class of elliptically contoured distributions (ECD) includes distributions with heavier tails than the normal distribution. In this research, a new subclass of ECD has been introduced. It is constructed as a scale mixture of Lomax distribution with Pearson type VII distribution. The mathematical properties of the Lomax-Pearson VII (LP7) distribution, such as stochastic representation, characteristic function, have been investigated. In addition, the usefulness of LP7 has been illustrated through an empirical study of financial stock returns. Under Akaike information criterion, the study revealed that LP7 distribution outperformed the normal distribution.

Original language	English
Title of host publication	sultan Qaboos University, College of Science Journal
Publication status	Published - Mar 6 2024

Cite this

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title = "Lomax-Pearson type VII distribution with application to financial stock returns",

abstract = "The class of elliptically contoured distributions (ECD) includes distributions with heavier tails than the normal distribution. In this research, a new subclass of ECD has been introduced. It is constructed as a scale mixture of Lomax distribution with Pearson type VII distribution. The mathematical properties of the Lomax-Pearson VII (LP7) distribution, such as stochastic representation, characteristic function, have been investigated. In addition, the usefulness of LP7 has been illustrated through an empirical study of financial stock returns. Under Akaike information criterion, the study revealed that LP7 distribution outperformed the normal distribution. ",

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N2 - The class of elliptically contoured distributions (ECD) includes distributions with heavier tails than the normal distribution. In this research, a new subclass of ECD has been introduced. It is constructed as a scale mixture of Lomax distribution with Pearson type VII distribution. The mathematical properties of the Lomax-Pearson VII (LP7) distribution, such as stochastic representation, characteristic function, have been investigated. In addition, the usefulness of LP7 has been illustrated through an empirical study of financial stock returns. Under Akaike information criterion, the study revealed that LP7 distribution outperformed the normal distribution.

AB - The class of elliptically contoured distributions (ECD) includes distributions with heavier tails than the normal distribution. In this research, a new subclass of ECD has been introduced. It is constructed as a scale mixture of Lomax distribution with Pearson type VII distribution. The mathematical properties of the Lomax-Pearson VII (LP7) distribution, such as stochastic representation, characteristic function, have been investigated. In addition, the usefulness of LP7 has been illustrated through an empirical study of financial stock returns. Under Akaike information criterion, the study revealed that LP7 distribution outperformed the normal distribution.

M3 - Conference contribution

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