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2010-10-14Buch DOI: 10.18452/4277
Models for Heavy-tailed Asset Returns
dc.contributor.authorBorak, Szymon
dc.contributor.authorMisiorek, Adam
dc.contributor.authorWeron, Rafał
dc.date.accessioned2017-06-16T00:13:17Z
dc.date.available2017-06-16T00:13:17Z
dc.date.created2010-10-27
dc.date.issued2010-10-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4929
dc.description.abstractMany of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black- Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a normal distribution. But this assumption is not justified by empirical data! Rather, the empirical observations exhibit excess kurtosis, more colloquially known as fat tails or heavy tails. This chapter is intended as a guide to heavy-tailed models. We first describe the historically oldest heavy-tailed model – the stable laws. Next, we briefly characterize their recent lighter-tailed generalizations, the socalled truncated and tempered stable distributions. Then we study the class of generalized hyperbolic laws, which – like tempered stable distributions – can be classified somewhere between infinite variance stable laws and the Gaussian distribution. Finally, we provide numerical examples.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectHeavy-tailed distributioneng
dc.subjectStable distributioneng
dc.subjectTempered stable distributioneng
dc.subjectGeneralized hyperbolic distributioneng
dc.subjectAsset returneng
dc.subjectRandom number generationeng
dc.subjectParameter estimationeng
dc.subject.ddc330 Wirtschaft
dc.titleModels for Heavy-tailed Asset Returns
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100176485
dc.identifier.doihttp://dx.doi.org/10.18452/4277
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages40
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue49
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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