We examine the dynamic properties of the daily returns of the Athens Stock Exchange General Index. The probability density and cumulative distribution functions are studied using the generalized non-extensive statistics framework. The multifractal properties are investigated by application of...

We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique...

The recent financial crisis of 2007–2009 has challenged the requirements of Basel II agreement on capital adequacy as well as, the appropriateness of value-at-risk (VaR) measurement for properly “back-tested” and “stress-tested” models. This paper reconsiders the use of VaR as a...