Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Adriana P. Mattedi, Fernando M. Ramos, Reinaldo R. Rosa and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 3, 554-561

Abstract: In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard value-at-risk (VaR) financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.

Keywords: Econophysics; Aerospace sector; Tsallis statistics; Value-at-risk (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437104007940
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
Working Paper: Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:3:p:554-561

DOI: 10.1016/j.physa.2004.06.031

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().