Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation (Q652384)
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scientific article; zbMATH DE number 5988366
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| English | Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation |
scientific article; zbMATH DE number 5988366 |
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Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation (English)
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14 December 2011
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family of skewed distributions
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skewness
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transformation of random variables
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Lambert \(W\)
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latent variables
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stylized facts of asset returns
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value at risk
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GARCH
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0.7557778358459473
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0.7496263980865479
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0.7378911972045898
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0.7362141609191895
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