Taking into account the rate of convergence in CLT under Risk evaluation on financial markets

Taking into account the rate of convergence in CLT under Risk evaluation on financial markets

This paper examines “fat tails puzzle” in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the “fat tail” uncertainty. In this paper, we provide a review of the empirical results obtained “fat tails puzzle” using innovative method of Yuri Gabovich based...

Full description

Bibliographic Details
Main Authors: Levon Kazaryan, Gregory Kantorovich
Format: Article
Language:English
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Subjects:
fat tails
non-gaussianity
risk evaluation
g-bounds
clt
the convergence to the normal distribution
weak-form market efficiency (wfe)
Online Access:http://dx.doi.org/10.1080/23322039.2017.1302870

Internet

http://dx.doi.org/10.1080/23322039.2017.1302870

Similar Items