Abstract: SUMMARY & CONCLUSIONSInverse Gaussian distribution is one of the most important distributions in reliability evaluation. The relevance between parameters is neglected in traditional ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...