Truncated skewed type III generalized logistic distribution: risk measurement applications

Panayiotis Theodossiou

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 5, 1379-1402

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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:5:p:1379-1402

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DOI: 10.1080/03610926.2020.1764036

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