Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

Review of Quantitative Finance and Accounting

Volumn 27, Issue 1, 2006, Pages 27-46

  Baixauli, J Samuel ^a,b   Alvarez, Susana ^b  

^a Dpto de Economía Financiera y Contabilidad   (Spain)

^b UNIVERSITY OF MURCIA   (Spain)

Author keywords

Excess kurtosis; Low tail behaviour; Nonparametric goodness of fit tests; Parametric bootstrap; Value at risk

Indexed keywords

EID: 33744974515     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-006-8541-9     Document Type: Article

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