Korkmaz, Mustafa Ç.
[Verfasser:in];
Altun, Emrah
[Verfasser:in];
Yousof, Haitham M.
[Verfasser:in];
Afify, Ahmed Z.
[Verfasser:in];
Nadarajah, Saralees
[Verfasser:in]
The Burr X Pareto Distribution: Properties, applications and VaR estimation
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Medientyp:
E-Artikel
Titel:
The Burr X Pareto Distribution: Properties, applications and VaR estimation
Beteiligte:
Korkmaz, Mustafa Ç.
[Verfasser:in];
Altun, Emrah
[Verfasser:in];
Yousof, Haitham M.
[Verfasser:in];
Afify, Ahmed Z.
[Verfasser:in];
Nadarajah, Saralees
[Verfasser:in]
Anmerkungen:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Beschreibung:
In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions.