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A Polynomial Logistic Distribution and its Applications in Finance

Author

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  • Vasileios M. Koutras
  • Konstantinos Drakos
  • Markos V. Koutras

Abstract

The importance of Logistic distribution has been widely recognized in many applied areas such as, demography, population studies, finance, agriculture, etc. Since its introduction as a model, much attention has been paid to the study of several generalizations of it, which would offer additional flexibility when data fitting is chased. In the present paper we introduce and develop a natural generalization of the Logistic distribution by considering a probability model whose logit cumulative distribution function transformation is of polynomial type. The performance of the model's fitting to financial data, using different parameter estimation methods, is also investigated.

Suggested Citation

  • Vasileios M. Koutras & Konstantinos Drakos & Markos V. Koutras, 2014. "A Polynomial Logistic Distribution and its Applications in Finance," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(10-12), pages 2045-2065, May.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:10-12:p:2045-2065
    DOI: 10.1080/03610926.2013.781651
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