On the closed form solutions for non-extensive Value at Risk

被引：2

作者：

Stavroyiannis, S. ^{[1
]}

Makris, I. ^{[1
]}

Nikolaidis, V. ^{[1
]}

机构：

[1] Technol Educ Inst Kalamata, Sch Management & Econ, Dept Finance & Auditing, Antikalamos 24100, Greece

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2009年 / 388卷 / 17期

关键词：

Value at Risk; Financial markets; Tsallis statistics; q-Gaussian distributions; Superstatistics; VALUE-AT-RISK; EXTREME-VALUE THEORY; NONEXTENSIVE STATISTICAL-MECHANICS; TSALLIS STATISTICS; SUPERSTATISTICS; MODEL;

D O I：

10.1016/j.physa.2009.05.002

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：3536 / 3542

页数：7

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[2]

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[3]

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