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Journal of Econometrics, ISSN 0304-4076, 2009, Volume 148, Issue 1, pp. 86 - 99
The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power... 
Maximum likelihood estimation | Asymmetric distributions | SKEWNESS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | INFERENCE | Asymmetric distributions Maximum likelihood estimation
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 12/2015, Volume 107, pp. 111 - 114
In this work, we show that the maximum likelihood estimates fail to exist for the extended exponential power distribution and its univariate generalizations. 
Asymmetric exponential power distribution | Maximum likelihood estimation | Extended exponential power distribution | STATISTICS & PROBABILITY
Journal Article
Journal of Statistical Computation and Simulation, ISSN 0094-9655, 01/2017, Volume 87, Issue 1, pp. 187 - 197
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 03/2014, Volume 71, pp. 955 - 970
The implementation characteristics of two method of L-moments (MLM) algorithms for parameter estimation of the 4-parameter Asymmetric Exponential Power (AEP4)... 
Asymmetric Exponential Power distribution | Generalized Lambda distribution | L-moments | Kappa distribution | Order statistics | SKEWNESS | KAPPA-DISTRIBUTION | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | GENERALIZED LAMBDA-DISTRIBUTION | STATISTICS & PROBABILITY | TRIMMED L-MOMENTS | Analysis | Methods | Algorithms
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 2011, Volume 18, Issue 4, pp. 765 - 778
Financial returns typically display heavy tails and some degree of skewness, and conditional variance models with these features often outperform more limited... 
Asymmetric distribution | NGARCH model | Expected shortfall | C16 | G10 | REGRESSION | BUSINESS, FINANCE | RISK | ECONOMICS | TIME-SERIES MODEL | Asymmetric distribution Expected shortfall NGARCH model
Journal Article
Econometric Reviews, ISSN 0747-4938, 07/2012, Volume 31, Issue 4, pp. 475 - 481
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 2008, Volume 52, Issue 3, pp. 1661 - 1673
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 03/2019, Volume 48, Issue 5, pp. 1092 - 1107
A robust regression methodology is proposed via M-estimation. The approach adapts to the tail behavior and skewness of the distribution of the random error... 
Asymmetric exponential power distribution | Quantile regression | Robust regression | Linear regression | M-estimation
Journal Article
2017 25th European Signal Processing Conference (EUSIPCO), 08/2017, Volume 2017-, pp. 1100 - 1104
Interest in risk measurement for high-frequency data has increased since the volume of high-frequency trading stepped up over the two last decades. This paper... 
Reactive power | Technological innovation | Computational modeling | Multimodality | Estimation | Hafnium | Expected shortfall | Predictive models | Value-at-Risk | Asymmetric distributions | Autoregressive processes | Risk measurement
Conference Proceeding
2016 24th European Signal Processing Conference (EUSIPCO), ISSN 2219-5491, 08/2016, Volume 2016-, pp. 2141 - 2145
Interest in risk measurement for spot price has increased since the worldwide deregulation and liberalization of electricity started in the early 90's. This... 
Reactive power | Technological innovation | Correlation | Computational modeling | Electricity markets | Expected shortfall | Signal processing | Market research | Tail dependence | Asymmetric distributions | Autoregressive processes
Conference Proceeding
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), ISSN 0302-9743, 2018, Volume 10814, pp. 85 - 94
Conference Proceeding
Journal of Evolutionary Economics, ISSN 0936-9937, 7/2017, Volume 27, Issue 3, pp. 585 - 611
Journal Article
2016 IEEE Statistical Signal Processing Workshop (SSP), 06/2016, Volume 2016-, pp. 1 - 5
Interest in risk measurement for spot price has increased since the worldwide deregulation and liberalization of electricity started in the early 90's. This... 
Reactive power | Technological innovation | Value at risk | Computational modeling | Estimation | Electricity markets | Predictive models | Market research | Tail dependence | Asymmetric distributions | Autoregressive processes | Exchange | Electric power generation | Deregulation | Power distribution | Spots | Electricity pricing | Risk
Conference Proceeding
Papers in Regional Science, ISSN 1056-8190, 06/2013, Volume 92, Issue 2, pp. 249 - 270
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 03/2015, Volume 44, Issue 5, pp. 953 - 971
Journal Article
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