Marshall–Olkin Esscher transformed Laplace distribution and processes

Abstract

In this article we consider a class of asymmetric distributions which belongs to one parameter regular exponential family. The Marshall–Olkin version of this family is also considered. Various properties are examined. Applications of these models in time series analysis are discussed. We also consider an application of Marshall–Olkin Esscher transformed Laplace distribution in financial modeling. A comparative study shows that Marshall–Olkin Esscher transformed Laplace distribution is a better fit to our data compared to asymmetric Laplace and Esscher transformed Laplace distributions.