Linking Tukey's legacy to financial risk measurement

DOI10.1016/j.csda.2015.08.018zbMath1466.62205OpenAlexW1846183621MaRDI QIDQ1659149

Chu-Ping C. Vijverberg, Süleyman Taşpınar, Wim P. M. Vijverberg

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.08.018

zbMATH Keywords

maximum likelihood estimationasymptotic propertiesskewnessrisk managementexpected shortfallGARCH modelvalue at riskgeneralized Tukey lambda distributionthick-tailed distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

GTL regression: a linear model with skewed and thick-tailed disturbances

Uses Software

• vars
• urca
• Rugarch
• cccp
• gogarch
• rneos

Cites Work

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