On the closed form solutions for non-extensive Value at Risk

S. Stavroyiannis, I. Makris and V. Nikolaidis

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 17, 3536-3542

Abstract: 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 indicates reasonable agreement with the data under consideration, including all possible extremes and asymmetries of the returns. Numerical results to illustrate the efficiency of the method are presented.

Keywords: Value at Risk; Financial markets; Tsallis statistics; q-Gaussian distributions; Superstatistics (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:17:p:3536-3542

DOI: 10.1016/j.physa.2009.05.002

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