A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions

Yuichi Nagahara ()

Asia-Pacific Financial Markets, 2008, vol. 15, issue 3, 175-184

Keywords: Historical simulation; Value at risk; Pearson distribution system; Skewness and kurtosis (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10690-008-9077-x

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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