α-Stable Distribution and its Application to Value at Risk and Financial Forecasting, in Comparison with Student''s t-Distribution
碩士 === 國立臺灣大學 === 財務金融學研究所 === 104 === In practice, business people used to deal with financial data as if they follow the normal distribution. However, researches have shown that most financial assets returns possess fat-tailed property, which is contradictory to that of the normal distribution. Bo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/p9tm6q |