The Burr X Pareto distribution: properties, applications and VaR estimation
Yükleniyor...
Tarih
2018
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
MDPI
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Burr X distribution, Pareto distribution, Maximum likelihood estimation, Heavy tail distribution, Value-at-risk
Kaynak
Journal Of Risk And Financial Management
WoS Q Değeri
N/A
Scopus Q Değeri
Cilt
11
Sayı
1
Künye
Korkmaz, M. Ç., Altun, E., Yousof, H. M., Afify, A. Z., & Nadarajah, S. (2018). The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. Journal of Risk and Financial Management, 11(1), 1.
