Linking Tukey's legacy to financial risk measurement (Q1659149): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| 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 | |||
Revision as of 18:17, 19 March 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
