Development of Value at Risk(VaR) models with applications to Malaysian capital market
A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock...
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| Format: | Thesis |
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2004
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| Online Access: | http://shdl.mmu.edu.my/87/ |