Skewed Kotz distribution with application to financial stock returns
DOI10.1007/S42519-019-0054-7zbMATH Open1426.62158OpenAlexW2965935717MaRDI QIDQ2321788FDOQ2321788
Amadou Sarr, Abdellatif Bellahnid
Publication date: 23 August 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42519-019-0054-7
average value-at-riskvalue-at-riskexcess kurtosisfinancial returnsKotz distributionskewed Kotz distributionskewed T distribution
Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (5)
- Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
- A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM
- Financial data and the skewed generalized \(t\) distribution
- Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns
- Title not available (Why is that?)
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