The PDF and CF of Pearson type IV distributions and the ML estimation of the parameters
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- Alem MERDIĆ & Kadrija HODŽIĆ, 2022. "Global Competitiveness Index 4.0 and export performances of the European economies," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 43-60, Autumn.
- Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 429-443, November.
- Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
- Norberto Rodríguez, 2000.
"Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate,"
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161, Banco de la Republica de Colombia.
- Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," Borradores de Economia 2060, Banco de la Republica.
- Yuichi Nagahara, 2003. "Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
- Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2016. "Estimation of dynamic VaR using JSU and PIV distributions," Risk Management, Palgrave Macmillan, vol. 18(2), pages 111-134, August.
- Nagahara, Yuichi, 2004. "A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 1-29, August.
- Sima Ahmadpour & Tat-Chee Wan & Zohreh Toghrayee & Fariba HematiGazafi, 2017. "Statistical Analysis of Video Frame Size Distribution Originating from Scalable Video Codec (SVC)," Complexity, Hindawi, vol. 2017, pages 1-12, March.
- Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
- Patra, Saswat, 2021. "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, vol. 101(C).
- Fabio Pizzutilo, 2013. "The Distribution of the Returns of Japanese Stocks and Portfolios," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(9), pages 1249-1259, September.
- Zhu, Ke & Li, Wai Keung, 2013.
"A new Pearson-type QMLE for conditionally heteroskedastic models,"
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52344, University Library of Munich, Germany.
- Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
- Verhoeven, Peter & McAleer, Michael, 2004.
"Fat tails and asymmetry in financial volatility models,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- C. García & J. García Pérez & J. Dorp, 2011. "Modeling heavy-tailed, skewed and peaked uncertainty phenomena with bounded support," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 463-486, November.
- Muino, J.M. & Voit, E.O. & Sorribas, A., 2006. "GS-distributions: A new family of distributions for continuous unimodal variables," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2769-2798, June.
- Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
- Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
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Keywords
Double exponential formula Heavy-tailed and skewed distribution Pearson system Risk management Stock returns;Statistics
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