Development of Value at Risk(VaR) models with applications to Malaysian capital market
A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock...
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Main Author: | Yap, Voon Choong |
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Format: | Thesis |
Published: |
2004
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