Advanced search
Publication Cover
Applied Financial Economics Letters Volume 4, 2008 - Issue 6
Submit an article Journal homepage
463
Views
19
CrossRef citations to date
0
Altmetric
Original Articles

Value-at-risk in US stock indices with skewed generalized error distribution

Ming-Chih Lee Department of Banking and Finance, Tamkang University, Taipei, Taiwan
,
Jung-Bin Su Department of Banking and Finance, Tamkang University, Taipei, Taiwan; Department of Finance, China Institute of Technology, Taipei, TaiwanCorrespondence[email protected]
&
Hung-Chun Liu Department of Banking and Finance, Tamkang University, Taipei, Taiwan
Pages 425-431 | Published online: 17 Oct 2008

Citations (19)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (6)

Zequn Sun & Thomas J. Fisher. (2021) Testing for correlation between two time series using a parametric bootstrap. Journal of Applied Statistics 48:11, pages 2042-2063.
Read now
Gourab Chakraborty, G. R. Chandrashekhar & G. Balasubramanian. (2021) Measurement of extreme market risk: Insights from a comprehensive literature review. Cogent Economics & Finance 9:1.
Read now
Emrah Altun, Huseyin Tatlidil & Gamze Ozel. (2019) Value-at-risk estimation with new skew extension of generalized normal distribution. Communications in Statistics - Theory and Methods 48:14, pages 3663-3681.
Read now
Emrah Altun. (2019) The generalized Gudermannian distribution: inference and volatility modelling. Statistics 53:2, pages 364-386.
Read now
Emrah Altun, Huseyin Tatlidil, Gamze Ozel & Saralees Nadarajah. (2018) A new generalization of skew-T distribution with volatility models. Journal of Statistical Computation and Simulation 88:7, pages 1252-1272.
Read now
Daniele Coin. (2017) A goodness-of-fit test for generalized error distribution. Communications in Statistics - Theory and Methods 46:23, pages 11485-11499.
Read now

Articles from other publishers (13)

Samuel Ampadu, Eric T. Mensah, Eric N. Aidoo, Alexander Boateng & Daniel Maposa. (2024) A comparative study of error distributions in the GARCH model through a Monte Carlo simulation approach. Scientific African 23, pages e01988.
Crossref
Fernanda Maria Müller, Thalles Weber Gössling, Samuel Solgon Santos & Marcelo Brutti Righi. (2023) A comparison of Range Value at Risk (RVaR) forecasting models. Journal of Forecasting.
Crossref
Rabeh Khalfaoui, Umer Shahzad, Mahdi Ghaemi Asl & Sami Ben Jabeur. (2023) Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach. The Quarterly Review of Economics and Finance 88, pages 63-80.
Crossref
Bao Khac Quoc Nguyen, Nguyet Thi Bich Phan & Van Le. (2023) Debt to the Penny and US Dollar Index: a lead-lag relationship of the US economy under impacts of the Covid-19 outbreak. International Journal of Social Economics.
Crossref
Cristiana Tudor & Robert Sova. (2022) Flexible Decision Support System for Algorithmic Trading: Empirical Application on Crude Oil Markets. IEEE Access 10, pages 9628-9644.
Crossref
Cheng Yan, Yi Tang, Jianfeng Dai, Chenggen Wang & Shengjun Wu. (2021) Uncertainty modeling of wind power frequency regulation potential considering distributed characteristics of forecast errors. Protection and Control of Modern Power Systems 6:1.
Crossref
Emrah Altun, Hüseyin Tatlıdil & Gamze Özel. (2018) Conditional ASGT-GARCH Approach to Value-at-Risk. Iranian Journal of Science and Technology, Transactions A: Science 43:1, pages 239-247.
Crossref
Emrah Altun, Huseyin Tatlidil, Gamze Ozel & Saralees Nadarajah. (2018) Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?. Journal of Risk and Financial Management 11:1, pages 7.
Crossref
Cheng-Few Lee & Jung-Bin Su. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 1399 1430 .
Cheng-Few Lee & Jung-Bin Su. (2011) Alternative statistical distributions for estimating value-at-risk: theory and evidence. Review of Quantitative Finance and Accounting 39:3, pages 309-331.
Crossref
Carol Alexander & José María Sarabia. (2012) Quantile Uncertainty and Value‐at‐Risk Model Risk. Risk Analysis 32:8, pages 1293-1308.
Crossref
Pei-Shan Wu, Chien-Ming Huang & Chien-Liang Chiu. (2011) Effects of structural changes on the risk characteristics of REIT returns. International Review of Economics & Finance 20:4, pages 645-653.
Crossref
Daniele Coin. (2017) A Goodness-of-Fit Test for Generalized Error Distribution. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.