A new generalization of skew-T distribution with volatility models

DOI10.1080/00949655.2018.1427240OpenAlexW2790585552MaRDI QIDQ4960607

Gamze Ozel, Emrah Altun, Hüseyin Tatlıdil, Saralees Nadarajah

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1427240

zbMATH Keywords

value-at-riskvolatilityGJR-GARCH modelalpha-skew-\(T\) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions ⋮ A new approach to Value-at-Risk: GARCH-TSLx model with inference ⋮ The generalized Gudermannian distribution: inference and volatility modelling ⋮ Two-sided exponential-geometric distribution: inference and volatility modeling

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