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https://hdl.handle.net/20.500.14279/19373| Title: | Truncated skewed type III generalized logistic distribution: risk measurement applications | Authors: | Theodossiou, Panayiotis | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Downside risk;Expected shortfall;Flexible distributions;Truncated skewed generalized logistic;Value at risk | Issue Date: | 2020 | Source: | Communications in Statistics - Theory and Methods, 2020 | Journal: | Communications in Statistics - Theory and Methods | Abstract: | This article derives the moment functions of the truncated skewed type III generalized logistic (SGL). These are then applied in finance for the development of value at risk (VaR), expected shortfall (ES), and downside risk measures for investment returns and values. The SGL distribution provides and good fit to the empirical distribution of a representative set of long series of financial data. Moreover, the SGL generates accurate VaR measures. | URI: | https://hdl.handle.net/20.500.14279/19373 | ISSN: | 1532415X | DOI: | 10.1080/03610926.2020.1764036 | Rights: | © 2020 Taylor & Francis Attribution-NonCommercial-NoDerivatives 4.0 International |
Type: | Article | Affiliation : | Cyprus University of Technology | Publication Type: | Peer Reviewed |
| Appears in Collections: | Άρθρα/Articles |
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