๐”– Bobbio Scriptorium
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Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure

โœ Scribed by Ahmadi-Javid, A.


Book ID
111963482
Publisher
Springer
Year
2012
Tongue
English
Weight
311 KB
Volume
155
Category
Article
ISSN
0022-3239

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Application of the Beck model to stock m
โœ M. Kozaki; A.-H. Sato ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 879 KB

We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We p