• 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
  • Pages
    7
  • From page
    3536
  • To page
    3542
  • 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
  • Serial Year
    2009
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    873250