Linking Tukey's legacy to financial risk measurement (Q1659149)
From MaRDI portal
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
