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
maximum likelihood estimationasymptotic propertiesskewnessrisk managementexpected shortfallGARCH modelvalue at riskgeneralized Tukey lambda distributionthick-tailed distribution
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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