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Properties And Estimation Of Asymmetric Exponential Power Distribution

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Cited by:

  1. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
  2. Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
  3. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
  4. Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe, 2024. "Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 271-304, January.
  5. Tumlinson, Samuel E., 2015. "On the non-existence of maximum likelihood estimates for the extended exponential power distribution and its generalizations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 111-114.
  6. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
  7. Norbert Henze & María Dolores Jiménez-Gamero, 2019. "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 499-521, June.
  8. Giuseppe Arbia & Riccardo Bramante & Silvia Facchinetti, 2020. "Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis," Risks, MDPI, vol. 8(3), pages 1-14, September.
  9. Huber, Peter & Oberhofer, Harald & Pfaffermayr, Michael, 2017. "Who creates jobs? Econometric modeling and evidence for Austrian firm level data," European Economic Review, Elsevier, vol. 91(C), pages 57-71.
  10. Michele Caivano & Andrew Harvey, 2014. "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
  11. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
  12. Bernardi, Mauro & Bottone, Marco & Petrella, Lea, 2018. "Bayesian quantile regression using the skew exponential power distribution," Computational Statistics & Data Analysis, Elsevier, vol. 126(C), pages 92-111.
  13. Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020. "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 803-825, October.
  14. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
  15. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
  16. Yuancheng Si & Saralees Nadarajah, 2023. "A Statistical Analysis of Chinese Stock Indices Returns From Approach of Parametric Distributions Fitting," Annals of Data Science, Springer, vol. 10(1), pages 73-88, February.
  17. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
  18. Jarek Duda, 2020. "Adaptive exponential power distribution with moving estimator for nonstationary time series," Papers 2003.02149, arXiv.org, revised Mar 2020.
  19. Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," Economics Letters, Elsevier, vol. 179(C), pages 29-32.
  20. J. Miguel Marin & Genaro Sucarrat, 2015. "Financial density selection," The European Journal of Finance, Taylor & Francis Journals, vol. 21(13-14), pages 1195-1213, November.
  21. Asquith, William H., 2014. "Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 955-970.
  22. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
  23. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  24. Massimiliano Giacalone, 2022. "Optimal forecasting accuracy using Lp-norm combination," METRON, Springer;Sapienza Università di Roma, vol. 80(2), pages 187-230, August.
  25. Yasutomo Murasawa, 2013. "Measuring Inflation Expectations Using Interval-Coded Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 602-623, August.
  26. José A. Sánchez-Espigares & Pere Grima & Lluís Marco-Almagro, 2018. "Visualizing Type II Error in Normality Tests," The American Statistician, Taylor & Francis Journals, vol. 72(2), pages 158-162, April.
  27. Ruijie Guan & Junjun Jiao & Weihu Cheng & Guozhi Hu, 2025. "A novel finite mixture model based on the generalized scale mixtures of asymmetric generalized normal distributions: properties, estimation methodology and applications," Computational Statistics, Springer, vol. 40(5), pages 2425-2470, June.
  28. Reiner Franke, 2015. "How Fat-Tailed is US Output Growth?," Metroeconomica, Wiley Blackwell, vol. 66(2), pages 213-242, May.
  29. Xianzi Yang & Chen Zhang & Yu Yang & Wenjun Wang & Zulfiqar Ali Wagan, 2022. "A new risk measurement method for China's carbon market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1280-1290, January.
  30. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
  31. Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.
  32. Victor Korolev & Alexander Zeifman, 2023. "Quasi-Exponentiated Normal Distributions: Mixture Representations and Asymmetrization," Mathematics, MDPI, vol. 11(17), pages 1-14, September.
  33. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
  34. Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel, 2013. "On the characteristic function for asymmetric Student t distributions," Economics Letters, Elsevier, vol. 121(2), pages 271-274.
  35. Xianzi Yang & Chen Zhang & Yu Yang & Yaqi Wu & Po Yun & Zulfiqar Ali Wagan, 2020. "China’s Carbon Pricing Based on Heterogeneous Tail Distribution," Sustainability, MDPI, vol. 12(7), pages 1-16, April.
  36. Francisco J. Rubio Alvarez, 2020. "Letter to the Editor: ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’," International Statistical Review, International Statistical Institute, vol. 88(3), pages 793-796, December.
  37. Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  38. Kwong, Hok Shing & Nadarajah, Saralees, 2019. "Modelling dynamics of marathons – A mixture model approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  39. Marco Bottone & Lea Petrella & Mauro Bernardi, 2021. "Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 1079-1107, September.
  40. Victor Korolev & Alexander Zeifman, 2023. "Mixture Representations for Generalized Burr, Snedecor–Fisher and Generalized Student Distributions with Related Results," Mathematics, MDPI, vol. 11(18), pages 1-25, September.
  41. Lukas Arnroth, 2025. "Bayesian composite $$L^p$$ L p -quantile regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 88(1), pages 83-97, January.
  42. Mahdi Teimouri & Saralees Nadarajah, 2022. "Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 665-692, August.
  43. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
  44. A. T. Soyinka & A. A. Olosunde, 2021. "Inferences from Asymmetric Multivariate Exponential Power Distribution," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 350-370, November.
  45. Sucarrat, Genaro & Escribano, Álvaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de Economía.
  46. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
  47. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2020. "Loss-based approach to two-piece location-scale distributions with applications to dependent data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 309-333, June.
  48. Zhu, Dongming & Zinde-Walsh, Victoria, 2009. "Properties and estimation of asymmetric exponential power distribution," Journal of Econometrics, Elsevier, vol. 148(1), pages 86-99, January.
  49. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
  50. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
  51. Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
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