Heavy-tailed value-at-risk analysis for Malaysian stock exchange
This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns. Alternative VaR measurement su...
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| Format: | Article |
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ELSEVIER SCIENCE BV
2008
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| Online Access: | http://shdl.mmu.edu.my/2656/ |