Linking Tukey's legacy to financial risk measurement (Q1659149): Difference between revisions

From MaRDI portal
Changed an Item
Import241208061232 (talk | contribs)
Normalize DOI.
 
(8 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.csda.2015.08.018 / rank
Normal rank
 
Property / describes a project that uses
 
Property / describes a project that uses: urca / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: cccp / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: gogarch / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: rneos / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: vars / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.csda.2015.08.018 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1846183621 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kurtosis of GARCH and stochastic volatility models with non-normal innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A conditional-SGT-VaR approach with alternative GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4431597 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The efficiency of the estimators of the parameters in GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH processes: structure and estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity of GARCH processes and of some nonnegative time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general class of multivariate skew-elliptical distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of conditional VaR and expected shortfall / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option valuation with conditional skewness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling exchange rate returns: which flexible distribution to use? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the Parameters of the Generalized Lambda Distribution: Which Method Performs Best? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hyperbolic distributions in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4343010 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Inference with v-Spherical Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank
 
Normal rank
Property / cites work
 
Property / cites work: a study of the generalized tukey lambda family / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Density Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Low Moments for Small Samples: A Comparative Study of Order Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gram-Charlier densities. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fitting the generalized lambda distribution to data: a method based on percentiles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2718634 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Handbook of Fitting Statistical Distributions with R / rank
 
Normal rank
Property / cites work
 
Property / cites work: The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “final word” on moment fits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characterizing the generalized lambda distribution by L-moments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory &amp; Methods: A Starship Estimation Method for the Generalized λ Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parametric links for binary choice models: a Fisherian-Bayesian colloquy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3145111 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness of Link Tests for Generalized Linear Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY / rank
 
Normal rank
Property / cites work
 
Property / cites work: An approximate method for generating asymmetric random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Probability Distribution and Its Uses in Fitting Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: The normal inverse gaussian lévy process: simulation and approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall / rank
 
Normal rank
Property / cites work
 
Property / cites work: Appendix: A primer on heavy-tailed distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation in conditionally heteroscedatic time series models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical maximum log likelihood estimation for generalized lambda distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Misspecified Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2995585 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.CSDA.2015.08.018 / rank
 
Normal rank

Latest revision as of 01:32, 11 December 2024

scientific article
Language Label Description Also known as
English
Linking Tukey's legacy to financial risk measurement
scientific article

    Statements

    Linking Tukey's legacy to financial risk measurement (English)
    0 references
    15 August 2018
    0 references
    generalized Tukey lambda distribution
    0 references
    skewness
    0 references
    thick-tailed distribution
    0 references
    maximum likelihood estimation
    0 references
    asymptotic properties
    0 references
    risk management
    0 references
    value at risk
    0 references
    expected shortfall
    0 references
    GARCH model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers