Truncated skewed type III generalized logistic distribution: risk measurement applications

DOI10.1080/03610926.2020.1764036OpenAlexW3025527527MaRDI QIDQ5079867

Panayiotis Theodossiou

Publication date: 30 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1764036

zbMATH Keywords

expected shortfalldownside riskvalue at riskflexible distributionstruncated skewed generalized logistic

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Errata to: A generalization of the beta distribution with applications
• The generalized extreme value distribution
• Comparing downside risk measures for heavy tailed distributions
• A detailed comparison of value at risk estimates
• Financial Data and the Skewed Generalized T Distribution
• Estimation methods for expected shortfall
• Skewness-Kurtosis Bounds for EGB1, EGB2, and Special Cases
• Skewed type III generalized logistic distribution
• A review of backtesting for value at risk
• Tabulations for value at risk and expected shortfall
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

This page was built for publication: Truncated skewed type III generalized logistic distribution: risk measurement applications