1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/19373
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.date.accessioned2020-11-12T07:57:34Z-
dc.date.available2020-11-12T07:57:34Z-
dc.date.issued2020-
dc.identifier.citationCommunications in Statistics - Theory and Methods, 2020en_US
dc.identifier.issn1532415X-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/19373-
dc.description.abstractThis 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofCommunications in Statistics - Theory and Methodsen_US
dc.rights© 2020 Taylor & Francisen_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectDownside risken_US
dc.subjectExpected shortfallen_US
dc.subjectFlexible distributionsen_US
dc.subjectTruncated skewed generalized logisticen_US
dc.subjectValue at risken_US
dc.titleTruncated skewed type III generalized logistic distribution: risk measurement applicationsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1080/03610926.2020.1764036en_US
cut.common.academicyear2019-2020en_US
item.fulltextNo Fulltext-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.languageiso639-1en-
crisitem.journal.journalissn1532-415X-
crisitem.journal.publisherTaylor & Francis-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Άρθρα/Articles
CORE Recommender
Show simple item record

Page view(s)

264
Last Week
1
Last month
10
checked on May 10, 2024

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons