Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
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Publication:2177677
DOI10.1016/j.amc.2020.125109zbMath1475.62251OpenAlexW3008379031MaRDI QIDQ2177677
Farzane Hashemi, Ahad Jamalizadeh, Mehrdad Naderi, Andriëtte Bekker
Publication date: 6 May 2020
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2020.125109
value-at-riskfinite mixture modelBirnbaum-Saunders distributionrisk measurementtail-value-at-risknormal mean-variance model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Uses Software
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