The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, cilt.11, sa.1, 2018 (ESCI)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 11 Sayı: 1
- Basım Tarihi: 2018
- Doi Numarası: 10.3390/jrfm11010001
- Dergi Adı: JOURNAL OF RISK AND FINANCIAL MANAGEMENT
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Hacettepe Üniversitesi Adresli: Evet
Özet
In 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.