It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 27, No. 1 (1978), pp. 76-77 (2 pages) This note proposes an approximation to the cumulative normal distribution and its ...

Data in statistical practice often consist of nonnegative measurements that exhibit positive skewness. The inverse Gaussian (IG) family of distributions provides a versatile and flexible model for ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...