In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has...

In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data...

In this article, we address the problem of computing the distribution functions that can be expressed as discrete mixtures of continuous distributions. Examples include noncentral chisquare, noncentral beta, noncentral , noncentral and the distribution of squared sample multiple correlation. We...