Lee, Cheng-Few; Su, Jung-Bin - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 309-331
A number of applications presume that asset returns are normally distributed, even though they are widely known to be skewed leptokurtic and fat-tailed and excess kurtosis. This leads to the underestimation or overestimation of the true value-at-risk (VaR). This study utilizes a composite...