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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.issued2018en_US
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.urihttps://hdl.handle.net/11494/2763
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.en_US
dc.language.isoengen_US
dc.publisherMDPIen_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.typearticleen_US
dc.relation.journalJournal Of Risk And Financial Managementen_US
dc.departmentAÇÜ, Eğitim Fakültesien_US
dc.authorid0000-0003-3302-0705en_US
dc.identifier.volume11en_US
dc.identifier.issue1en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.doi10.3390/jrfm11010001en_US
dc.contributor.institutionauthor[0-Belirlenecek]en_US


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