Empirical input distributions: an alternative to standard input distribution in simulation modeling

Exact forms of Rényi and Shannon entropies are determined for 27 continuous bivariate distributions, including the Kotz type distribution, truncated normal distribution, distributions with normal and centered normal conditionals, natural exponential ...

We answer the question of which model to use to represent equity index returns.We compare performances of different distributions using KS and AD statistics.We also test the power of the models using Value-at-Risk failure rates.The generalized lambda ...

Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler representations in terms of densities rather than cumulative ...