Investigation onValue-at-Risk and Expected Tail Loss under Heavy Tail Distributions：The Application of Stable Distribution and Generalized Error Distribution
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === There is evidence that the distributions of financial data exhibit heavy tail. The characteristic of stable distribution and generalized error distribution (GED) are heavy tailed. Therefore, we employ the stable distribution and general error distribution to esti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ax5mm5 |