The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
AbstractIn this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions. View Full-Text
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Korkmaz, M.Ç.; Altun, E.; Yousof, H.M.; Afify, A.Z.; Nadarajah, S. The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. J. Risk Financial Manag. 2018, 11, 1.
Korkmaz MÇ, Altun E, Yousof HM, Afify AZ, Nadarajah S. The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. Journal of Risk and Financial Management. 2018; 11(1):1.Chicago/Turabian Style
Korkmaz, Mustafa Ç.; Altun, Emrah; Yousof, Haitham M.; Afify, Ahmed Z.; Nadarajah, Saralees. 2018. "The Burr X Pareto Distribution: Properties, Applications and VaR Estimation." J. Risk Financial Manag. 11, no. 1: 1.
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