A Fibonacci-type probability distribution provides the probabilistic models for establishing stopping rules associated with the number of consecutive successes. It can be interpreted as a generalized version of a geometric distribution. In this article, after revisiting the Fibonacci-type...

The article deals with modelling of two-dimensional financial data set using Weibull distribution extended to two-dimensional setting. The generalization in two dimensions is not direct, it goes through representation of one-dimensional asymmetric Laplace distribution. The characteristics of the...

We review the literature about the use of third- and fourth-order moments in finance, the main papers on asset pricing theory with higher-order moments, and the definitions of skewness and kurtosis in the statistical literature. Contagion, skewness and kurtosis investor preferences, and tail...

We present a robust Generalized Empirical Likelihood estimator and confidence region for the parameters of an autoregression that may have a heavy tailed error, and the error may be conditionally heteroscedastic of unknown form. The estimator exploits two transformations for heavy tail...

In this paper, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can...