Title of article :
On the closed form solutions for non-extensive Value at Risk
Author/Authors :
S. Stavroyiannis، نويسنده , , I. Makris، نويسنده , , V. Nikolaidis، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique indicates reasonable agreement with the data under consideration, including all possible extremes and asymmetries of the returns. Numerical results to illustrate the efficiency of the method are presented.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications