Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Michele Leonardo Bianchi ()
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Michele Leonardo Bianchi: Bank of Italy

No 957, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it with three models allowing for asymmetry and heavy tails. We empirically assess that both the value at risk and the average value at risk are model-dependent and we show that the difference between models should be taken into consideration in the evaluation of risk measures.

Keywords: open-end mutual funds; normal distribution; tempered stable distributions; value at risk; average value at risk (search for similar items in EconPapers)
JEL-codes: C02 C46 G23 (search for similar items in EconPapers)
Date: 2014-04
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_957_14

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