کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083963 | 1477823 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling the fat tails in Asian stock markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We test whether stock returns in the Asian markets are characterized by infinite variance or just large variance, which has an important implication for the applicability of many financial models in Asian market data. Employing the extreme value framework, we find that the Asian index return distributions are fat-tailed but have finite variance. However, the tails of the distributions behave similarly to those in the U.S. and the MSCI World index returns, suggesting that any financial model or risk management tool that incorporates the second moment would work equally well for the Asian market data as it does for developed market data. We apply the Value-at-Risk method using Asian and U.S. data and find no significant difference in performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 20, Issue 3, June 2011, Pages 430-440
Journal: International Review of Economics & Finance - Volume 20, Issue 3, June 2011, Pages 430-440
نویسندگان
Jullavut Kittiakarasakun, Yiuman Tse,