Lambert W random variables-a new family of generalized skewed distributions with applications to risk estimation

Annals of Applied Statistics

Volumn 5, Issue 3, 2011, Pages 2197-2230

  Goerg, Georg M ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Family of skewed distributions; GARCH; Lambert W; Latent variables; Skewness; Stylized facts of asset returns; Transformation of random variables; Value at risk

Indexed keywords

EID: 84870270171     PISSN: 19326157     EISSN: 19417330     Source Type: Journal    
DOI: 10.1214/11-AOAS457     Document Type: Article

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