Value-at-Risk approximation of multivariate normal-inverse Gaussian distribution
碩士 === 東吳大學 === 商用數學系 === 92 === The financial return data has the character of fat tail. If we fit the financial return data in Normal distribution, the Value-at-Risk(VaR) will be misvalued. The multivariate normal-inverse Gaussian (MNIG) distribution arises as a normal variance-mean mixture with a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15032720497214692153 |