Article ID Journal Published Year Pages File Type
7341995 Borsa Istanbul Review 2015 16 Pages PDF
Abstract
We show how the use of the stable distributions achieves a great amelioration of the modelling of the S&P/OIC COMCEC 50, considering the different statistical tests and in terms of the assessment of the value of tail risk.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Tail risk analysis of the S&P/OIC COMCEC 50 index
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