The Burr X Pareto distribution: properties, applications and VaR estimation

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dc.authorid0000-0003-3302-0705en_US
dc.contributor.authorKorkmaz, Mustafa Çağatay
dc.contributor.authorAltun, Emrah
dc.contributor.authorYousof, Haitham M.
dc.contributor.authorAfify, Ahmed Z.
dc.contributor.authorNadarajah, Saralees
dc.date.accessioned2021-03-19T09:51:00Z
dc.date.available2021-03-19T09:51:00Z
dc.date.issued2018
dc.departmentAÇÜ, Eğitim Fakültesien_US
dc.description.abstractIn 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.
dc.identifier.citationKorkmaz, 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.en_US
dc.identifier.doi10.3390/jrfm11010001
dc.identifier.issue1en_US
dc.identifier.urihttps://hdl.handle.net/11494/2763
dc.identifier.volume11en_US
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.institutionauthorKorkmaz, Mustafa Çağatay
dc.language.isoenen_US
dc.publisherMDPIen_US
dc.relation.ispartofJournal Of Risk And Financial Management
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBurr X distributionen_US
dc.subjectPareto distributionen_US
dc.subjectMaximum likelihood estimationen_US
dc.subjectHeavy tail distributionen_US
dc.subjectValue-at-risken_US
dc.titleThe Burr X Pareto distribution: properties, applications and VaR estimationen_US
dc.typeArticle

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