Two-sided exponential-geometric distribution: inference and volatility modeling

DOI10.1007/S00180-019-00873-3MaRDI QIDQ2319488zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

GARCHvolatilityvalue-at-riskGJR-GARCHexponential-geometric distribution

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• A lifetime distribution with decreasing failure rate
• A new generalization of skew-T distribution with volatility models
• A new lifetime model with decreasing, increasing, bathtub-shaped, and upside-down bathtub-shaped hazard rate function
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Different estimation procedures for the parameters of the extended exponential geometric distribution for medical data
• Empirical properties of asset returns: stylized facts and statistical issues
• Estimation of the Pareto law from underreported data. A further analysis
• Forecasting VaR models under different volatility processes and distributions of return innovations
• Generalized autoregressive conditional heteroscedasticity
• On Bayesian Modeling of Fat Tails and Skewness
• 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
• The use of GARCH models in VaR estimation

Describes a project that uses

Uses Software

• CAViaR

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