Skewed Kotz distribution with application to financial stock returns

DOI10.1007/s42519-019-0054-7zbMath1426.62158OpenAlexW2965935717MaRDI QIDQ2321788

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

zbMATH Keywords

value-at-riskaverage value-at-riskexcess kurtosisfinancial returnsKotz distributionskewed Kotz distributionskewed T distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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