Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management

DOI10.1007/S10100-021-00771-4MaRDI QIDQ2673295zbMATH OpenOpenAlexFDO

Authors Mário Pčolár, Juraj Pekár

Publication date 9 June 2022

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-021-00771-4

zbMATH Keywords

CVaRdaily returnsfitting distributiongeneralized lambda distributionskewed generalized t-distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• a study of the generalized tukey lambda family
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Coherent measures of risk
• CVaR minimization by the SRA algorithm
• Financial data and the skewed generalized t distribution
• Generalized autoregressive conditional heteroscedasticity
• Instrumental variables estimation with flexible distributions
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• Stability advances in robust portfolio optimization under parallelepiped uncertainty

Cited in

(2)

• The last dozen of years of or research in Czechia and Slovakia
• Buffered-ranking intervals for virtual profit efficiency analysis

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