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This document describes a generalized error distribution that can be used to model financial price changes. The distribution is a flexible three-parameter distribution that includes the normal and Laplace distributions as special cases. It allows for modeling of distributions with varying degrees of kurtosis. The distribution also has a natural multivariate generalization constructed using the Mahalanobis distance. Maximum likelihood methods can be used to estimate the parameters of the distribution from sa

Author

Divungo

Language

EN