IEEE - Institute of Electrical and Electronics Engineers, Inc. - Application of VaR based on stable distribution

2010 3rd International Congress on Image and Signal Processing (CISP)

Author(s): Yuling Wang ; Yuhua Xu ; Junhai Ma ; Jing Wang
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 October 2010
Conference Location: Yantai, China, China
Conference Date: 16 October 2010
Volume: 9
Page(s): 4,193 - 4,196
ISBN (CD): 978-1-4244-6515-6
ISBN (Electronic): 978-1-4244-6516-3
ISBN (Paper): 978-1-4244-6513-2
DOI: 10.1109/CISP.2010.5646828
Regular:

Value at risk is widely applied to estimated market risks. But it lacks a convincing technique capturing the observed phenomena in financial data such as heavy-tails, time -varying and short and... View More

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