Linking Tukey's legacy to financial risk measurement (Q1659149)
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scientific article; zbMATH DE number 6918353
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linking Tukey's legacy to financial risk measurement |
scientific article; zbMATH DE number 6918353 |
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Linking Tukey's legacy to financial risk measurement (English)
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15 August 2018
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generalized Tukey lambda distribution
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skewness
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thick-tailed distribution
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maximum likelihood estimation
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asymptotic properties
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risk management
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value at risk
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expected shortfall
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GARCH model
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