Value-at-risk estimation with new skew extension of generalized normal distribution

DOI10.1080/03610926.2018.1481970OpenAlexW2899491113MaRDI QIDQ5866105

Gamze Ozel, Hüseyin Tatlıdil, Emrah Altun

Publication date: 10 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1481970

zbMATH Keywords

value-at-riskvolatilityGARCH modelalpha-skew generalized normal

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Series form of the characteristic functions of scale mixtures of multivariate skew-normal distributions

Cites Work

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