Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/19373
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Theodossiou, Panayiotis | - |
dc.date.accessioned | 2020-11-12T07:57:34Z | - |
dc.date.available | 2020-11-12T07:57:34Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Communications in Statistics - Theory and Methods, 2020 | en_US |
dc.identifier.issn | 1532415X | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/19373 | - |
dc.description.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. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Communications in Statistics - Theory and Methods | en_US |
dc.rights | © 2020 Taylor & Francis | en_US |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Downside risk | en_US |
dc.subject | Expected shortfall | en_US |
dc.subject | Flexible distributions | en_US |
dc.subject | Truncated skewed generalized logistic | en_US |
dc.subject | Value at risk | en_US |
dc.title | Truncated skewed type III generalized logistic distribution: risk measurement applications | en_US |
dc.type | Article | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Subscription | en_US |
dc.country | Cyprus | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1080/03610926.2020.1764036 | en_US |
cut.common.academicyear | 2019-2020 | en_US |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.journal.journalissn | 1532-415X | - |
crisitem.journal.publisher | Taylor & Francis | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Management and Economics | - |
crisitem.author.orcid | 0000-0001-5556-2594 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Άρθρα/Articles |
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