Truncated skewed type III generalized logistic distribution: risk measurement applications

DOI10.1080/03610926.2020.1764036OpenAlexW3025527527MaRDI QIDQ5079867FDOQ5079867

Authors: Panayiotis Theodossiou 

Publication date: 30 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1764036

zbMATH Keywords

expected shortfallvalue at riskdownside riskflexible distributionstruncated skewed generalized logistic

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Estimation methods for expected shortfall
• Title not available (Why is that?)
• Financial data and the skewed generalized \(t\) distribution
• Title not available (Why is that?)
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The generalized extreme value distribution
• A detailed comparison of value at risk estimates
• Errata to: A generalization of the beta distribution with applications
• Comparing downside risk measures for heavy tailed distributions
• A review of backtesting for value at risk
• Skewness-Kurtosis Bounds for EGB1, EGB2, and Special Cases
• Skewed type III generalized logistic distribution
• Tabulations for value at risk and expected shortfall

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