Value at Risk (VaR) and the alpha-stable distribution
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References listed on IDEAS
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Cited by:
- Carlo Marinelli & Stefano D'Addona & Svetlozar T. Rachev, 2012.
"Multivariate Heavy-Tailed Models For Value-At-Risk Estimation,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
- Carlo Marinelli & Stefano d'Addona & Svetlozar T. Rachev, 2010. "Multivariate heavy-tailed models for Value-at-Risk estimation," Papers 1005.2862, arXiv.org, revised Dec 2011.
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More about this item
Keywords
alpha stable distribution; Value at Risk; VaR;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G19 - Financial Economics - - General Financial Markets - - - Other
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2008-06-13 (Risk Management)
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