Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management

DOI10.1007/s10100-021-00771-4OpenAlexW3203019534MaRDI QIDQ2673295

Mário Pčolár, Juraj Pekár

Publication date: 9 June 2022

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-021-00771-4

zbMATH Keywords

CVaRdaily returnsgeneralized lambda distributionfitting distributionskewed generalized t-distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites Work

• CVaR minimization by the SRA algorithm
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• Stability advances in robust portfolio optimization under parallelepiped uncertainty
• Generalized autoregressive conditional heteroscedasticity
• Coherent Measures of Risk
• Financial Data and the Skewed Generalized T Distribution
• Instrumental Variables Estimation With Flexible Distributions
• a study of the generalized tukey lambda family
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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