On the closed form solutions for non-extensive Value at Risk

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 17, 2009, Pages 3536-3542

  Stavroyiannis, S ^a   Makris, I ^a   Nikolaidis, V ^a  

^a TECHNOLOGICAL EDUCATIONAL INSTITUTE OF KALAMATA   (Greece)

Author keywords

Financial markets; q Gaussian distributions; Superstatistics; Tsallis statistics; Value at Risk

Indexed keywords

DISTRIBUTION FUNCTIONS; FINANCIAL DATA PROCESSING; FINANCIAL MARKETS; NUMERICAL METHODS; PROBABILITY DENSITY FUNCTION;

CLOSED FORM SOLUTIONS; CUMULATIVE DISTRIBUTION FUNCTION; FINANCIAL TIME SERIES; NONEXTENSIVE STATISTICS; NUMERICAL RESULTS; SUPERSTATISTICS; TSALLIS STATISTICS; VALUE AT RISK;

VALUE ENGINEERING;

EID: 67349250163     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.05.002     Document Type: Article

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