Two-sided exponential-geometric distribution: inference and volatility modeling
DOI10.1007/S00180-019-00873-3zbMATH Open1505.62025OpenAlexW2916719268WikidataQ115609153 ScholiaQ115609153MaRDI QIDQ2319488FDOQ2319488
Authors: Emrah Altun 
Publication date: 19 August 2019
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-019-00873-3
Recommendations
- A new approach to Value-at-Risk: GARCH-TSLx model with inference
- The generalized Gudermannian distribution: inference and volatility modelling
- Two-step methods in VaR prediction and the importance of fat tails
- Volatility modeling with a generalized \(t\) distribution
- Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- On Bayesian Modeling of Fat Tails and Skewness
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Empirical properties of asset returns: stylized facts and statistical issues
- Estimation of the Pareto law from underreported data. A further analysis
- A lifetime distribution with decreasing failure rate
- The complementary exponential geometric distribution: model, properties, and a comparison with its counterpart
- The exponentiated exponential-geometric distribution: a distribution with decreasing, increasing and unimodal failure rate
- A new lifetime model with decreasing, increasing, bathtub-shaped, and upside-down bathtub-shaped hazard rate function
- Title not available (Why is that?)
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Different estimation procedures for the parameters of the extended exponential geometric distribution for medical data
- The use of GARCH models in VaR estimation
- Forecasting VaR models under different volatility processes and distributions of return innovations
- A new generalization of skew-T distribution with volatility models
Uses Software
This page was built for publication: Two-sided exponential-geometric distribution: inference and volatility modeling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2319488)
