Search Results - subject:"Inverse Gaussian distribution"

Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails

Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …

Persistent link: https://www.econbiz.de/10014497426

Decomposing duration dependence in a stopping time model

Alvarez, Fernando; Borovičková, Katarína; Shimer, Robert - 2024

Persistent link: https://www.econbiz.de/10015359367

Option pricing with dynamic conditional skewness

Liang, Fang; Du, Lingshan - In: The journal of futures markets 44 (2024) 7, pp. 1154-1188

Persistent link: https://www.econbiz.de/10014553957

Cyber risk modeling : a discrete multivariate count process approach

Lu, Yang; Zhang, Jinggong; Zhu, Wenjun - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 625-655

Persistent link: https://www.econbiz.de/10015052473

An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount

Tzougas, George; Jeong, Himchan - In: Risks 9 (2021) 1, pp. 1-17

This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

Persistent link: https://www.econbiz.de/10013200689

Dimension reduction via penalized GLMs for non-Gaussian response: Application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-26

We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

Persistent link: https://www.econbiz.de/10013201266

An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount

Tzougas, George; Jeong, Himchan - In: Risks : open access journal 9 (2021) 1/19, pp. 1-17

Persistent link: https://www.econbiz.de/10012423047

Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

Persistent link: https://www.econbiz.de/10012798738

On a stochastic degradation model based on the generalised inverse Gaussian distribution

Tamaru, Leona; Nagatsuka, Hideki - In: Asian journal of management science and applications : AJMSA 4 (2019) 1, pp. 49-58

Persistent link: https://www.econbiz.de/10012154205

Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689

Persistent link: https://www.econbiz.de/10013367850

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