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THE IMPORTANCE OF FAT-TAILED AND SKEWED DISTRIBUTIONS IN MODELING VALUE-AT-RISK
(Fen Bilimleri Enstitüsü, 2018)
Most of the Value-at-Risk models assume that financial returns are normally distributed, despite the fact that they are commonly known to be left skewed, fat-tailed and excess kurtosis. Forecasting Value-at-Risk with ...
Uç Değerler Teorisi ve Riske Maruz Değer
(Fen Bilimleri Enstitüsü, 2014)
Value-At-Risk (VaR) is a method, measures the maximum loss of the investment for a given confidence interval and holding period. When the classical VaR models are analyzed, it is shown that these models are based on the ...
THE IMPORTANCE OF FAT-TAILED AND SKEWED DISTRIBUTIONS IN MODELING VALUE-AT-RISK
(Fen Bilimleri Enstitüsü, 2018)
Most of the Value-at-Risk models assume that financial returns are normally distributed, despite the fact that they are commonly known to be left skewed, fat-tailed and excess kurtosis. Forecasting Value-at-Risk with ...
