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Journal of Statistical Computation and Simulation Volume 70, 2001 - Issue 4
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Original Articles

An algorithm to determine the parameters of SU-curves in the johnson system of probabillity distributions by moment matching Footnote∗

Hans J.H. Tuenter Schulich School of Business, York University, Toronto, Ontario, M3J 1P3, Canada E-mail: [email protected]
Pages 325-347 | Published online: 20 Mar 2007

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M. Felpel, J. Kienitz & T. A. McWalter. (2022) Effective Markovian projection: application to CMS spread options and mid-curve swaptions. Quantitative Finance 22:6, pages 1169-1192.
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Canan G. Corlu & Alper Corlu. (2015) Modelling exchange rate returns: which flexible distribution to use?. Quantitative Finance 15:11, pages 1851-1864.
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Articles from other publishers (16)

Christos Floros, Konstantinos Gkillas & Christos Kountzakis. (2022) Generalized Johnson Distributions and Risk Functionals. Mathematics 10:17, pages 3200.
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Changlu Qiao, Guotao Cai, Yanxue Liu, Junfeng Li & Fulong Chen. (2022) Study of the Flood Frequency Based on Normal Transformation in Arid Inland Region: A Case Study of Manas River in North-Western China. Mobile Information Systems 2022, pages 1-17.
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Carol Alexander, Emese Lazar & Silvia Stanescu. (2021) Analytic moments for GJR-GARCH (1, 1) processes. International Journal of Forecasting 37:1, pages 105-124.
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Jaehyuk Choi, Chenru Liu & Byoung Ki Seo. (2018) Hyperbolic normal stochastic volatility model. Journal of Futures Markets 39:2, pages 186-204.
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Kutalmis M. Bercin, Zheng-Tong Xie & Stephen R. Turnock. (2018) Exploration of digital-filter and forward-stepwise synthetic turbulence generators and an improvement for their skewness-kurtosis. Computers & Fluids 172, pages 443-466.
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B. Sirangelo, T. Caloiero, R. Coscarelli & E. Ferrari. (2016) A stochastic model for the analysis of maximum daily temperature. Theoretical and Applied Climatology 130:1-2, pages 275-289.
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Canan G. Corlu, Melike Meterelliyoz & Murat Tiniç. (2016) Empirical distributions of daily equity index returns: A comparison. Expert Systems with Applications 54, pages 170-192.
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Muhammad Nur Farhan SANIMAN & Ikuo IHARA. (2016) Feasibility study on characterization of non-Gaussian rough surface by ultrasonic reflection method with the Kirchhoff theory. Mechanical Engineering Journal 3:6, pages 16-00162-16-00162.
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John-Peter D. Chateau. (2014) Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis. Journal of Mathematical Finance 04:03, pages 160-177.
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Carol Alexander, Emese Lazar & Silvia Stanescu. (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis 30, pages 36-45.
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Jean-Guy Simonato. (2011) The Performance of Johnson Distributions for ComputingValue at Risk and Expected Shortfall. The Journal of Derivatives 19:1, pages 7-24.
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Jean-Pierre D. Chateau. (2011) Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit. L'Actualité économique 87:4, pages 445.
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Mike Felpel, Joerg Kienitz & Thomas McWalter. (2021) Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions. SSRN Electronic Journal.
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Jaehyuk Choi, Chenru Liu & Byoung Ki Seo. (2017) Hyperbolic Normal Stochastic Volatility Model. SSRN Electronic Journal.
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Jean-Guy Simonato. (2012) Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH. SSRN Electronic Journal.
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Jean-Guy Simonato. (2011) The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall. SSRN Electronic Journal.
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