The Asymmetric Log-Laplace Distribution as a Limiting Case of the Generalized Beta Distribution
Statistics & Probability Letters, 2019 (with Jonathan E. Jensen and James B. McDonald)
The asymmetric log-Laplace (ALL) and the generalized beta distribution of the second kind (GB2) have been used in many applications. We demonstrate that the ALL is a limiting case of the GB2 and examine their ability to model stock returns.
Keywords: Beta prime, Feller–Pareto, GB2, Generalized F, Double Pareto, Stock returns