Linking Tukey's legacy to financial risk measurement
type: Item
instance of: scholarly article
title: Linking Tukey's legacy to financial risk measurement
zbMATH Open document ID: 1466.62205
author: Chu-Ping C. Vijverberg
author: Wim P. M. Vijverberg
author: Süleyman Taşpınar
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6918353
zbMATH Keywords: generalized Tukey lambda distribution
zbMATH Keywords: skewness
zbMATH Keywords: thick-tailed distribution
zbMATH Keywords: maximum likelihood estimation
zbMATH Keywords: asymptotic properties
zbMATH Keywords: risk management
zbMATH Keywords: value at risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: GARCH model
describes a project that uses: Rugarch
describes a project that uses: urca
describes a project that uses: cccp
describes a project that uses: gogarch
describes a project that uses: rneos
describes a project that uses: vars
MaRDI profile type: Publication
full work available at URL: j.csda.2015.08.018
OpenAlex ID: W1846183621
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DOI: 10.1016/J.CSDA.2015.08.018
description: scientific article; zbMATH DE number 6918353