کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976316 933108 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the closed form solutions for non-extensive Value at Risk
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
On the closed form solutions for non-extensive Value at Risk
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 17, 1 September 2009, Pages 3536-3542
نویسندگان
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