Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment
Year of publication: |
2008
|
---|---|
Authors: | Kozaki, M. ; Sato, A.-H. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 5, p. 1225-1246
|
Publisher: |
Elsevier |
Subject: | Econophysics | Stock markets | Value-at-Risk | Portfolio risk assessment | Tsallis statistics |
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