Risk management: an analysis of the low-tail behavior of high frequency data for computing value at risk

Authors :: Baixauli, J. Samuel
Alvarez, Susana
Source :: Journal of Academy of Business and Economics. March, 2004, Vol. 4 Issue 1, p142, 10 p.
Publication Year :: 2004
Abstract: ABSTRACT This paper deals with the analysis of the low-tail behaviour of a sample. This issue is very important in the financial field, where the fat-tailedness characterizes many series. In [...]

Subjects :: Distribution of goods -- Models
Risk management -- Models
Risk management
Business
Business, general
Economics
Government

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