Heavy-tailed value-at-risk analysis for Malaysian stock exchange

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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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Bibliographic Details
Main Author:	CHIN, W
Format:	Article
Published:	ELSEVIER SCIENCE BV 2008
Subjects:	T Technology (General) QA75.5-76.95 Electronic computers. Computer science
Online Access:	http://shdl.mmu.edu.my/2656/

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