Alternative statistical distributions for estimating value-at-risk: theory and evidence

A number of applications presume that asset returns are normally distributed, even though they are widely known to be skewed leptokurtic and fat-tailed and excess kurtosis. This leads to the underestimation or overestimation of the true value-at-risk (VaR). This study utilizes a composite trapezoid...

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Veröffentlicht in:Review of quantitative finance and accounting 2012-10, Vol.39 (3), p.309-331
Hauptverfasser: Lee, Cheng-Few, Su, Jung-Bin
Format: Artikel
Sprache:eng
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