Open AccessValue at Risk and Expected Shortfall for Normal Weighted Inverse Gaussian Distributions
Author(s) -
Calvin B. Maina,
Patrick Weke,
Carolyne Ogutu,
Joseph A. M. Ottieno
Publication year - 2022
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2022.121002
Subject(s) - akaike information criterion , bayesian information criterion , inverse gaussian distribution , normal inverse gaussian distribution , mathematics , value at risk , econometrics , statistics , gaussian , likelihood ratio test , expected shortfall , bayesian probability , distribution (mathematics) , economics , gaussian process , finance , gaussian random field , risk management , mathematical analysis , physics , quantum mechanics
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