메뉴 건너뛰기




Volumn 22, Issue 5, 2007, Pages 891-921

Asymmetric power distribution: Theory and applications to risk measurement

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34548400687     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.961     Document Type: Article
Times cited : (96)

References (49)
  • 1
    • 33646168798 scopus 로고    scopus 로고
    • The generalized hyperbolic skew Student's t-distribution
    • Aas K, Haff IH. 2006. The generalized hyperbolic skew Student's t-distribution. Journal of Financial Econometrics 4: 275-309.
    • (2006) Journal of Financial Econometrics , vol.4 , pp. 275-309
    • Aas, K.1    Haff, I.H.2
  • 2
    • 70350121618 scopus 로고
    • Empirical process ethods in econometrics
    • Engle RF, McFadden DL eds, Elsevier Science: Amsterdam;
    • Andrews OWK. 1994. Empirical process ethods in econometrics. In Handbook of Econometrics. Vol. 4, Engle RF, McFadden DL (eds). Elsevier Science: Amsterdam; 2248-2294.
    • (1994) Handbook of Econometrics , vol.4 , pp. 2248-2294
    • Andrews, O.W.K.1
  • 5
    • 84952159560 scopus 로고
    • Interval estimation for the two-parameter double exponential distribution
    • Bain LJ, Engelhardt M. 1973. Interval estimation for the two-parameter double exponential distribution. Technometrics 15: 875-887.
    • (1973) Technometrics , vol.15 , pp. 875-887
    • Bain, L.J.1    Engelhardt, M.2
  • 7
    • 0030107532 scopus 로고    scopus 로고
    • BLUE's of location and scale parameters of Laplace distribution based on Type-II censored samples and associated inference
    • Balakrishnan N, Chandramouleeswaran MP, Ambagaspitiya RS. 1996. BLUE's of location and scale parameters of Laplace distribution based on Type-II censored samples and associated inference. Microelectronic Reliability 36: 371-374.
    • (1996) Microelectronic Reliability , vol.36 , pp. 371-374
    • Balakrishnan, N.1    Chandramouleeswaran, M.P.2    Ambagaspitiya, R.S.3
  • 9
    • 84959669794 scopus 로고
    • Safety first, stochastic dominance and optimal portfolio choice
    • Bawa VS. 1978. Safety first, stochastic dominance and optimal portfolio choice. Journal of Financial and Quantitative Analysis 13: 255-271.
    • (1978) Journal of Financial and Quantitative Analysis , vol.13 , pp. 255-271
    • Bawa, V.S.1
  • 10
    • 49449120642 scopus 로고
    • Capital market equilibrium in a mean-lower partial moment framework
    • Bawa VS, Lindenberg EB. 1977. Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics 5: 189-200.
    • (1977) Journal of Financial Economics , vol.5 , pp. 189-200
    • Bawa, V.S.1    Lindenberg, E.B.2
  • 12
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31(3): 307-328.
    • (1986) Journal of Econometrics , vol.31 , Issue.3 , pp. 307-328
    • Bollerslev, T.1
  • 13
    • 70349218800 scopus 로고
    • Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
    • Bollerslev T, Wooldridge JM. 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11: 143-179.
    • (1992) Econometric Reviews , vol.11 , pp. 143-179
    • Bollerslev, T.1    Wooldridge, J.M.2
  • 14
    • 0000025464 scopus 로고
    • Estimating the asymptotic covariance matrix for quantile regression models: A Monte Carlo study
    • Buchinsky M. 1995. Estimating the asymptotic covariance matrix for quantile regression models: a Monte Carlo study. Journal of Econometrics 68: 303-338.
    • (1995) Journal of Econometrics , vol.68 , pp. 303-338
    • Buchinsky, M.1
  • 16
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle RF. 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Economé trica 50: 987-1007.
    • (1982) Economé trica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 17
    • 84963097472 scopus 로고
    • Mean-variance analysis in the theory of liquidity preference and portfolio selection
    • Feldstein MS. 1969. Mean-variance analysis in the theory of liquidity preference and portfolio selection. Review of Economic Studies 36(1): 5-12.
    • (1969) Review of Economic Studies , vol.36 , Issue.1 , pp. 5-12
    • Feldstein, M.S.1
  • 18
    • 12444253075 scopus 로고    scopus 로고
    • Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
    • Fermanian JD, Scaillet O.2005. Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements. Journal of Banking and Finance 29: 927-958.
    • (2005) Journal of Banking and Finance , vol.29 , pp. 927-958
    • Fermanian, J.D.1    Scaillet, O.2
  • 21
    • 0002889251 scopus 로고    scopus 로고
    • The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
    • Fitzenberger B. 1997. The moving blocks bootstrap and robust inference for linear least squares and quantile regressions. Journal of Econometrics 82: 235-287.
    • (1997) Journal of Econometrics , vol.82 , pp. 235-287
    • Fitzenberger, B.1
  • 22
    • 0038551367 scopus 로고    scopus 로고
    • Convex measures of risk and trading constraints
    • Follmer H, Schied A. 2002. Convex measures of risk and trading constraints. Finance and Stochastics 6(4): 429-447.
    • (2002) Finance and Stochastics , vol.6 , Issue.4 , pp. 429-447
    • Follmer, H.1    Schied, A.2
  • 23
    • 1942444557 scopus 로고    scopus 로고
    • Modelling daily value-at-risk using realized volatility and ARCH type models
    • Giot P, Laurent S. 2004. Modelling daily value-at-risk using realized volatility and ARCH type models. Journal of Empirical Finance 11: 379-398.
    • (2004) Journal of Empirical Finance , vol.11 , pp. 379-398
    • Giot, P.1    Laurent, S.2
  • 24
    • 0042918183 scopus 로고
    • Best linear estimates under symmetric censoring of the parameters of double exponential distribution
    • Govindarajulu Z. 1966. Best linear estimates under symmetric censoring of the parameters of double exponential distribution. Journal of the American Statistical Association 61: 248-258.
    • (1966) Journal of the American Statistical Association , vol.61 , pp. 248-258
    • Govindarajulu, Z.1
  • 25
    • 84963089164 scopus 로고
    • The efficiency analysis of choices involving risk
    • Hanoch G, Levy H. 1969. The efficiency analysis of choices involving risk. Review of Economic Studies 36: 335-346.
    • (1969) Review of Economic Studies , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 26
    • 0001619086 scopus 로고
    • Autoregressive conditional density estimation
    • Hansen BE. 1994. Autoregressive conditional density estimation. International Economic Review 35: 705-730.
    • (1994) International Economic Review , vol.35 , pp. 705-730
    • Hansen, B.E.1
  • 27
    • 34548461351 scopus 로고
    • Estimation of the variance in the generalized Laplace distribution with quadratic loss function
    • Jakuszenkow H. 1979. Estimation of the variance in the generalized Laplace distribution with quadratic loss function. Demonstratio Mathematica 3: 581-591.
    • (1979) Demonstratio Mathematica , vol.3 , pp. 581-591
    • Jakuszenkow, H.1
  • 31
    • 21744436522 scopus 로고    scopus 로고
    • Quasi-maximum likelihood estimation for conditional quantiles
    • Komunjer I. 2005. Quasi-maximum likelihood estimation for conditional quantiles. Journal of Econometrics 128: 137-164.
    • (2005) Journal of Econometrics , vol.128 , pp. 137-164
    • Komunjer, I.1
  • 34
    • 0001925391 scopus 로고
    • Techniques for verifying the accuracy of risk measurement models
    • Kupiec P. 1995. Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives 3: 73-84.
    • (1995) Journal of Derivatives , vol.3 , pp. 73-84
    • Kupiec, P.1
  • 38
    • 0039207134 scopus 로고
    • Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
    • McDonald JB. 1991. Parametric models for partially adaptive estimation with skewed and leptokurtic residuals. Economics Letters 37: 273-278.
    • (1991) Economics Letters , vol.37 , pp. 273-278
    • McDonald, J.B.1
  • 39
    • 70350342861 scopus 로고    scopus 로고
    • Probability distributions for financial models
    • Maddala GS, Rao CR eds, Elsevier Science: Amsterdam;
    • McDonald JB. 1997. Probability distributions for financial models. In Handbook of Statistics, Vol. 14, Maddala GS, Rao CR (eds). Elsevier Science: Amsterdam; 427-461.
    • (1997) Handbook of Statistics , vol.14 , pp. 427-461
    • McDonald, J.B.1
  • 40
    • 84974220416 scopus 로고
    • Partially adaptive estimation of regression models via the generalized t distribution
    • McDonald JB, Newey WK. 1988. Partially adaptive estimation of regression models via the generalized t distribution. Econometric Theory 4: 428-457.
    • (1988) Econometric Theory , vol.4 , pp. 428-457
    • McDonald, J.B.1    Newey, W.K.2
  • 41
    • 0000361129 scopus 로고    scopus 로고
    • Estimation of tail-related risk measures for heteroskedastic time series: An extreme value approach
    • McNeil AJ, Frey R. 2000. Estimation of tail-related risk measures for heteroskedastic time series: an extreme value approach. Journal of Empirical Finance 7: 271-300.
    • (2000) Journal of Empirical Finance , vol.7 , pp. 271-300
    • McNeil, A.J.1    Frey, R.2
  • 42
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson DB. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econométrica 59: 347-370.
    • (1991) Econométrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 43
    • 70350096085 scopus 로고
    • Large sample estimation and hypothesis testing
    • Engle RF, McFadden DL eds, Elsevier Science: Amsterdam;
    • Newey WK, McFadden DL. 1994. Large sample estimation and hypothesis testing. In Handbook of Econometrics, Vol. 4, Engle RF, McFadden DL (eds). Elsevier Science: Amsterdam; 2113-2247.
    • (1994) Handbook of Econometrics , vol.4 , pp. 2113-2247
    • Newey, W.K.1    McFadden, D.L.2
  • 45
    • 11944258719 scopus 로고    scopus 로고
    • On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
    • Patton AJ. 2004. On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2: 130-168.
    • (2004) Journal of Financial Econometrics , vol.2 , pp. 130-168
    • Patton, A.J.1
  • 46
    • 1042302466 scopus 로고    scopus 로고
    • Nonparametric estimation and sensitivity analysis of expected shortfall
    • Scaillet O. 2004. Nonparametric estimation and sensitivity analysis of expected shortfall. Mathematical Finance 14: 115-129.
    • (2004) Mathematical Finance , vol.14 , pp. 115-129
    • Scaillet, O.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.