Skewed Kotz distribution with application to financial stock returns

DOI10.1007/S42519-019-0054-7MaRDI QIDQ2321788zbMATHOpenAlexFDO

Authors Abdellatif Bellahnid, Amadou Sarr

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

zbMATH Keywords

average value-at-riskvalue-at-riskexcess kurtosisfinancial returnsKotz distributionskewed Kotz distributionskewed T distribution

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 2174552 (Why is no real title available?)
• A New Class of Skew-Normal Distributions
• A new look at the statistical model identification
• A new skew-bimodal distribution with applications
• Computing VaR and AVaR of skewed-T distribution
• Error Distribution for Gene Expression Data
• Estimating the dimension of a model
• Estimation of the precision matrix of multivariate Kotz type model
• Multivariate Elliptically Contoured Distributions for Repeated Measurements
• The Kotz-type distribution with applications
• Value-at-Risk Prediction: A Comparison of Alternative Strategies

Cited in

(6)

• Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
• Financial data and the skewed generalized \(t\) distribution
• Computing VaR and AVaR of skewed-T distribution
• scientific article; zbMATH DE number 5010393 (Why is no real title available?)
• Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns
• A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM

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