at Google ScholarTitle data
Bauer, Christian:
Value at risk using hyperbolic distributions.
In: Journal of Economics and Business.
Vol. 52
(2000)
Issue 5
.
- pp. 455-467.
ISSN 0148-6195
DOI: https://doi.org/10.1016/S0148-6195(00)00026-6
Related URLs
Abstract in another language
This article deals with the Value at Risk concept as it is used in practice. We show that, like the Gaussian distribution, elliptical distributions lend themselves to simple practical computations. All necessary computations are detailed for the symmetric hyperbolic distributions. A test on real stock market and exchange rate data shows the new distributions fit the data better and outperform equivalent estimators used in RiskMetrics™.
Further data
| Item Type: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Keywords: | Hyperbolic distribution; Elliptical distributions; Value at risk |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance |
| Result of work at the UBT: | Yes |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 13 Apr 2015 08:56 |
| Last Modified: | 13 Apr 2015 08:56 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/10163 |