It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for the conditional distribution of financial...

The present paper deals with two time-shifted density models for wear out failure period of a single unit system. The study, considered the time-shifted Gamma and Normal distributions. Wear out failures occur as a result of deterioration processes or mechanical wear and its probability of...

Purpose This paper aims to propose a framework based on the unbiased extreme value volatility estimator (namely, the AddRS estimator) to compute and predict the long position and the short position value-at-risk (VaR) and stressed expected shortfall (ES). The precise prediction of VaR and ES...