Fat Tail Analysis and Package FatTailsR

Analyse des distributions à queues épaisses et package FatTailsR

Patrice Kiener ()
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Patrice Kiener: InModelia

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Abstract: We present additionnal results on K1, K2, K3 and K4 distributions described at 8th R/Rmetrics Summer Workshop 2014 ( https://hal.archives-ouvertes.fr/hal-01343711 ), noteworthy the moments, the skewness, the kurtosis and one function to summarize the tail risk. The applications present new plots to follow the risk associated to financial assets, especially in the case of rolling windows. The figures suggest new rules in portfolio management and rebalancement procedures.

Keywords: fat tails; skewed tails; skewness; kurtosis; risk measure; Distributions; Lois de probabilité; queues épaisses; queues asymétriques; mesure de risque (search for similar items in EconPapers)
Date: 2015-06-25
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Published in 9th R/Rmetrics Summer Workshop 2015, Diethelm Wuertz, Jun 2015, Zurich, Switzerland

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01343713

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